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Black-Scholes Model Use the Black-Scholes model t...

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Black-Scholes Model Use the Black-Scholes model to find the price for a call option with the following inputs: (1) current stock price is $32, (2) strike price is $35, (3) time to expiration is 6 months, (4) annualized risk-free rate is 3%, and (5) variance of stock return is 0.26. Round your answer to the nearest cent. In your calculations round normal distribution values to 4 decimal places. $ Binomial Model The current price of a stock is $16. In 6 months, the price will be either $20 or $13. The annual risk-free rate is 6%. Find the price of a call option on the stock that has an strike price of $15 and that expires in 6 months. (Hint: Use daily compounding.) Round your answer to the nearest cent. Assume a 365-day year. Do not round your intermediate calculations. $

 

Paper#8602 | Written in 18-Jul-2015

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