(See related pages)
|
|
|
What’s On the Web? 24.1 Black-Scholes Go to www.cfo.com and, under CFO.com Toolbox, follow the "Stock Options Calculator" link, then the "Options Calculator (Java)" link. There is a call and a put option on a stock that expires in 30 days. The strike price is $50 and the current stock price is $51.20. The standard deviation of the return on the stock is 60 percent per year, and the risk-free rate is 4.8 percent per year, compounded continuously. What is the price of the call and the put? What are the deltas? 24.2 Black-Scholes Go to www.cboe.com, click on the "Trading Tools" tab, then the "Option Calculator" link. A stock is currently priced at $93 per share, and its return has a standard deviation of 48 percent per year. Options are available with an exercise price of $90, and the risk-free rate is 5.2 percent per year, compounded continuously. What is the price of the call and the put that expire next month? What are the deltas? How do your answers change for an exercise price of $95? 24.3 Implied Standard Deviation Go to www.numa.com and look under the section titled "Options" and follow the calculator link. You purchased a call option for $10.50 that matures in 51 days. The strike price is $100, and the underlying stock has a price of $102. If the risk-free rate is 4.8 percent, compounded continuously, what is the implied return standard deviation of the stock? Using this implied standard deviation, what is the price of a put option with the same characteristics? 24.4 Black-Scholes with Dividends Recalculate the first two problems assuming a dividend yield of 2 percent per year. How does this change your answers? Can you explain why dividends have the effect they do? |