The current stock price of Johnson & Johnson (J&J) is $56, and the stock does not pay dividends. The instantaneous risk-free rate of return is 6%. The instantaneous standard deviation of J&J's stock is 25 %. You want to purchase a put option on this stock with an exercise price of $50 and an expiration date 70 days from now. Assume 365 days in a year Using Black - Scholes, the put option should be worth today. Multiple Choice $0.36 $6.94 $6.58 $0.29

The current stock price of Johnson & Johnson (J&J) is $56, and the stock does not pay dividends. The instantaneous risk-free rate of return is 6%. The instantaneous standard deviation of J&J's stock is 25 %. You want to purchase a put option on this stock with an exercise price of $50 and an expiration date 70 days from now. Assume 365 days in a year Using Black - Scholes, the put option should be worth today. Multiple Choice $0.36 $6.94 $6.58 $0.29

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter20: Financing With Derivatives

Section20.A: The Black-scholes Option Pricing Model

Problem 1P

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The current stock price of Johnson & Johnson (J&J) is $54, and the stock does not pay dividends. The instantaneous risk-free rate of return is 5%. The instantaneous standard deviation of J&J's stock is 40%. You want to purchase a put option on this stock with an exercise price of $45 and an expiration date 65 days from now. Assume 365 days in a year Using Black-Scholes, the put option should be worth. Multiple Choice $0.53 $0.46 $9.57 $9.93 today.
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Compute the Black-Scholes price of a put option on a stock which does not pay dividends and has the volatility 0.2, if its exercise price is 200 USD and expiration in one year. Interest rate is zero and the price of the stock is 180 USD. use excel.
Compute the Black-Scholes price of a put option on a stock which does not pay dividends and has the volatility 0.2, if its exercise price is 200 USD and expiration in one year. Interest rate is zero and the price of the stock is 180 USD. Use excel and share the formula template.