What is the value of the following call option according to, Ask an Expert

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What is the value of the following call option according to the Black Scholes Option Pricing Model? (To be done in excel with formulas showing)

Stock Price = $45.25

Strike Price = $45.00

Time to Expiration = 3 Months = 0.2 years.

Risk-Free Rate = 4.0%.

Stock Return Standard Deviation = 0.65.

Suppose the price of a stock falls.

a. What will happen to the price of a call option written on that stock?

b. What will happen to the price of a put option written on that stock?

Suppose the risk free rate rises.

a. What will happen to the price of a call option written on that stock?

b. What will happen to the price of a put option written on that stock?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92844214

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