1. The stock of the McCall Corporation is currently trading at $42 per share. Th

Question

1. The stock of the McCall Corporation is currently trading at $42 per share. The stock’s volatility as measured by its standard deviation is 20%. If the strike (exercise) price for a certain set of options on McCall stock carry a strike price of $40, and the options run for 6 months (180 days), determine the Black-Scholes model values for: N (d1), N (d2), N (- d1), and N (- d2). (Assume the risk-free rate is 10% and that the stock pays no dividends.) 1. The stock of the McCall Corporation is currently trading at $42 per share. The stock’s volatility as measured by its standard deviation is 20%. If the strike (exercise) price for a certain set of options on McCall stock carry a strike price of $40, and the options run for 6 months (180 days), determine the Black-Scholes model values for: N (d1), N (d2), N (- d1), and N (- d2). (Assume the risk-free rate is 10% and that the stock pays no dividends.)

Explanation / Answer

Black-Scholes Option Pricing Model Inputs: Stock Price (S) $42.00 Strike Price (X) $40.00 Volatility (s) 20.00% Risk-free Rate 10.00% Time to expiration (T) 0.5 yrs Dividend Yield 0.00% # of Options (000) 1 # Shares Outstanding (000) 1 Tax Rate 0.00% Output: D1 0.76926 D2 0.62784 N(D1) 0.77913 N(D2) 0.73495 Call Price $4.75942 Put Price $0.80860 .-D1 -0.76926 .-D2 -0.62784 n(-d1) 0.220869 N(-D2) 0.265054

Related Questions

Navigate

• Browse (All)
• Browse 1
• Subjects

---

---

Integrity-first tutoring: explanations and feedback only — we do not complete graded work. Learn more.