Solved: Black-scholes option pricing model, Finance Basics

+44 141 628 6080
[email protected]

Black-scholes option pricing model

Problem: Assume that you have been given the following information on Purcell Industries.

Current Stock price=$15 Strike price of option =$15
Time to maturity of option =6    mos    Risk-free rate =6%
Variance of stock return=0.12

d1 = 0.24495    N(d1) =0.59675
d2 = 0.00000    N(d2)= 0.50000

According to the Black-Scholes option pricing model, what is the options' value?

Solution Preview :

Prepared by a verified Expert

Finance Basics: Black-scholes option pricing model

Reference No:- TGS01822400

Now Priced at $20 (50% Discount)

Recommended (98%)

Rated (4.3/5)

Have a Question? (oR Write a Review)

Write atleast 100 words!!

Recent Questions Asked Finance Basics

Q : What is the firms value of operations

If the weighted average cost of capital is 16%, what is the firm's value of operations, in millions?

Q : Determine the significant factors of the company strategy

Research a company that you believe has done and excellent job in creating, communicating, and executing its stated strategy

Q : Organizational effectiveness and efficiency

Do you think organizational behaviors can be observed and assessed in order to make a difference when it comes to organizational effectiveness and efficiency?

Q : What weapons are most often used in commission of a crime

What weapons are most often used in the commission of a crime? How long do people in the U.S live? Is there a difference between longevity

Q : Black-scholes option pricing model

According to the Black-Scholes option pricing model, what is the options' value?

Q : Any companies that follow performance driven

Company executives, along with HR managers/compensation committees, must decide if their organization will be a pay leader or follower

Q : Price elasticity of demand

Identify a product and explain the potential price elasticity of demand for this product. Justify your position with adequate details.

Q : Calculate each projects payback period

Calculate each project's payback period. Calculate each project's net present value (NPV).

Q : Create optimal engagement

Create an outline of an employee engagement plan to create optimal engagement, retainment, and productivity

1927992

Questions
Asked

3,689

Active Tutors

1443152

Questions
Answered

Start Excelling in your courses, Ask a tutor for help and get answers for your problems !!

ask Question

Asked Questions

Discuss patient with athsma about use of bronchodilators

You're instructing a patient with athsma about the use of bronchodilators. You should teach the patient which one?

Discuss new forms of advertising changing opdps work

How have social media and other new forms of advertising changing OPDP's work?

Observing and reporting a correctional clients behavior

Observing and reporting a correctional client's behavior is extremely important, to ensure they receive the right mental health care.

Discussion about improve patient satisfaction scores

You are trying to improve patient satisfaction scores in your hospital's emergency department. You decide to poll 40 patients a day for three weeks.

Problem concerning about the risk for stroke

Sam is concerned about his risk for his stroke since his dad died of stroke at age 57 based on the following information why would you recommend

Patient presented with acute-onset abdominal pain

You are on your 5th straight duty in the Urgent Care and you are seeing a 18 yo may who presented with acute-onset abdominal pain for 2 days.

Discuss - male with a history of moderate persistent asthma

A nurse is caring for an 8-year-old male with a history of moderate persistent asthma. He is accompanied by his mom and dad who reported