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Excercise
It is being considered to purchase of 100 units of a 3-month 35-strike European call option on a stock.
It is given:
(i) The Black-Scholes framework holds.
(i) The stock is currently selling for 30.
(i) The stock’s volatility is 24%.
(i) The stock pays dividends continuously at a rate proportional to its price. The
(i) The continuously compounded risk-free interest rate is 5%.
Solution
Definitions:
C: The price of a European call option
S: The price of the stock
K: The strike price of the option
σ: The standard deviation of the stock's returns
r: The annualized risk-free interest rate
T: Time in years
δ: The drift rate of S, annualized
Inputs:
S= 30
K= 35
σ= 0.24
r= 0.05
T= 0.25
δ= 0.03
Calculations:
d1 = -1.1829223
d2 = -1.3029223
N(d1) = 0.11841997
N(d2) = 0.09630064
C= 0.19740105
19.74
Black-Sholes Excercise
call option on a stock. Se está considerando la compra de 100 unidades de una opción de compra europea d
Solución
Definiciones:
C: El precio de una opción de compra europea
S: El precio de la acción
K: el precio de ejercicio de la opción
σ: la desviación estándar de las devoluciones de acciones
r: la tasa de interés libre de riesgo anualizada
T: Tiempo en años
δ: La tasa de deriva de S, anualizada
Insumos:
S= 30
K= 35
σ= 0.24
r= 0.05
T= 0.25
δ= 0.03
Cálculos
s Excercise
ente a una tasa proporcional a su precio. El rendimiento del dividendo es del 3%.
nuamente compuesta es del 5%