a. Using the Black-Scholes Option Pricing Model, what is the value of the call o

Question

a. Using the Black-Scholes Option Pricing Model, what is the value of the call option?

What is d1? d2? N(d1)? N(d2)?

Using the formula for option value and the values of N(d) from above, we can find the call option value.

What is VC?

b. Suppose there is a put option on Puckett's stock with exactly the same inputs as the call option. What is the value of the put?

Put option using Black-Scholes modified formula : ?

Put option using put-call parity: ?

Please show all calculations so get full points?

P = $65 X = $70 t = 0.5 rRF = 4% s = 50.00%

Explanation / Answer

vc =

d1 = 0.2074962 standard deviations from the mean

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