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Please, clarify the calculation, so I can understand, If is better to have in excel please clarify as well. Thanks
P14.17- A stock trades for $42 per share. A call option on that stock has a strike price of $53 and an expiration date three months in the future. The volatility of thestock’s returns is 46 %, and the risk-free rate is 4 %. What is the Black and Scholes value of thisoption?
The Black and Scholes value of this call option is $ ________
P14.18-A stock trades for $45 per share. A call option on that stock has a strike price of $51 and an expiration date nine months in the future. When the volatility of the stock’s returns is 30%, the Black and Scholes value of the option is $3.82. Now assume, the volatility of the stock’s returns is 56 %, and the risk-free rate is 4 %.
a) Intuitively, would you expect this to cause the call price to rise or fall? By how much does the call price change?
b)The Black and Scholes value of this call option is $________
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