Use the Black-Scholes formula for the following stock: Time to expiration 6 months Standard deviation 60% per year Exercise price $57 Stock price $57 Annual interest rate 3% Dividend 0 Recalculate the value of the call with the following changes: a. Time to expiration 3 months b. Standard deviation 25% per year c. Exercise price $64 d. Stock price $64 e. Interest rate 6% Select each scenario independently. Note: Round your answers to 2 decimal places.
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Use the Black-Scholes formula for the following stock:
Time to expiration | 6 months |
---|---|
Standard deviation | 60% per year |
Exercise price | $57 |
Stock price | $57 |
Annual interest rate | 3% |
Dividend | 0 |
Recalculate the value of the call with the following changes:
a. Time to expiration | 3 months |
---|---|
b. Standard deviation | 25% per year |
c. Exercise price | $64 |
d. Stock price | $64 |
e. Interest rate | 6% |
Select each scenario independently.
Note: Round your answers to 2 decimal places.
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