Which of the following inputs into the Black-Scholes model is least likely to have opposite effects...

Question

Question

Which of the following inputs into the Black-Scholes model is least likely to have opposite effects on put and call prices?
1. Volatility.
2. Strike price.
3. Risk-free rate.

business finance

Answer 1

Answer #1

rate positively .. let me know if you need any clarification .

correct answer is optiokn - Volatility.

Answer 2

Similar Homework Help Questions

Use the Black-Scholes model to find the price for a call option with the following inputs:...

Use the Black-Scholes model to find the price for a call option with the following inputs: (1) current stock price is $31, (2) strike price is $34, (3) time to expiration is 8 months, (4) annualized risk-free rate is 5%, and (5) variance of stock return is 0.36. Do not round intermediate calculations. Round your answer to the nearest cent.
Use the Black-Scholes model to find the price for a call option with the following inputs:...

Use the Black-Scholes model to find the price for a call option with the following inputs: (1) current stock price is $30, (2) strike price is $37, (3) time to expiration is 6 months, (4) annualized risk-free rate is 6%, and (5) variance of stock return is 0.36. Do not round intermediate calculations. Round your answer to the nearest cent.
Use the Black-Scholes Model to find the price for a call option with the following inputs:...

Use the Black-Scholes Model to find the price for a call option with the following inputs: (1) current stock price is $31, (2) strike price is $35, (3) time to expiration is 3 months, (4) annualized risk-free rate is 6%, and (5) variance of stock return is 0.16. Do not round intermediate calculations. Round your answer to the nearest cent.

Which of the following is not an input of the Black and Scholes model? A. earnings...

Which of the following is not an input of the Black and Scholes model? A. earnings per share B. stock price C. risk free rate D. volatility
Assume the Black-Scholes framework for options pricing. You are a portfolio manager and already have a...

Assume the Black-Scholes framework for options pricing. You are a portfolio manager and already have a long position in Apple (ticker: AAPL). You want to protect your long position against losses and decide to buy a European put option on AAPL with a strike price of $180.15 and an expiration date of 1-year from today. The continuously compounded risk free interest rate is 8% and the stock pays no dividends. The current stock price for AAPL is $200 and its...
Problem 1: - Using the Black/Scholes formula and put/call parity, value a European put option on...

Problem 1: - Using the Black/Scholes formula and put/call parity, value a European put option on the equity in Amgen, which has the following characteristics. Expiration: Current stock price of Amgen: Strike Price: Volatility of Amgen Stock price: Risk-free rate (continuously compounded): Dividends: 3 months (i.e., 60 trade days) $53.00 $50.00 26% per year 2% None If the market price of the Amgen put is actually $2.00 per share, is the above estimate of volatility higher or lower than the...

Black Scholes Option Pricing Model Stock Price = 75 Strike price = 70 Risk Free rate...

Black Scholes Option Pricing Model Stock Price = 75 Strike price = 70 Risk Free rate - 4% Standard deviation = 15% 5 months remaining Calculate call & Put and show work please
1. What is the value of the following call option according to the Black Scholes Option...

1. What is the value of the following call option according to the Black Scholes Option Pricing Model? What is the value of the put options? Stock Price = $42.50 Strike Price = $45.00 Time to Expiration = 3 Months = 0.25 years. Risk-Free Rate = 3.0%. Stock Return Standard Deviation = 0.45.
(8-3) Black-Scholes Model INTERMEDIATE PROBLEMS 3-4 Assume that you have been given the following information on...

(8-3) Black-Scholes Model INTERMEDIATE PROBLEMS 3-4 Assume that you have been given the following information on Purcell Corporation's call options: Strike price of option = $15 Risk-free rate 6% Current stock price = $15 Time to maturity of option = 6 months Variance of stock return = 0.12 d = 0.24495 d. = 0.00000 N(d) = 0.59675 N(d) = 0.50000 According to the Black-Scholes option pricing model, what is the option's value?

Evaluate and compute call and put options price for Star Ltd with reference to Black Scholes’...

Evaluate and compute call and put options price for Star Ltd with reference to Black Scholes’ option pricing model, with a dividend payout of $ 2 in 30 days Star Ltd stock price = $ 60.25 Exercise price = $ 50 Risk free rate = 5.24% Call maturity = 270 days Stock volatility = 0.45