Chapter 25
Problems 1-28
Input boxes in tan
Output boxes in yellow
Given data in blue
Calculations in red
Answers in green
Chapter 25
Question 1
Input Area:
Output Area:
Chapter 25
Question 2
Input Area:
Output Area:
Chapter 25
Question 3
Input Area:
Output Area:
Current stock price 67$
Exercise price 70$
Call option 3.05$
Expiration (months) 3
Risk-free rate 2.6%
Chapter 25
Question 4
Input Area:
Output Area:
Expiration (months) 6
Exercise price 40$
Put option 4.25$
Current stock price 36$
Risk-free rate 3.5%
Chapter 25
Question 5
Input Area:
Output Area:
Exercise price 65$
Expiration (months) 3
Put option 1.25$
Call option 5.10$
Risk-free rate 4.8%
Chapter 25
Question 6
Input Area:
Output Area:
Exercise price 60$
Expiration (months) 4
Put option 0.95$
Call option 5.30$
Current stock price 63.38$
Chapter 25
Question 7
Input Area:
Output Area:
Current stock price 84$
Exercise price 80$
Risk-free rate 4.70%
Expiration (months) 4
Standard deviation 62%
Chapter 25
Question 8
Input Area:
Output Area:
For a call option the delta is
for a $1 change in the price of the
Current stock price 53$
Exercise price 55$
Risk-free rate 5.00%
Expiration (months) 9
Standard deviation 59%
Chapter 25
Question 9
Input Area:
Output Area:
The ‘stock’ price is $1,350,000
and the exercise price is
Current selling price $1,350,000
Price % increase 7%
Standard deviation 30%
Option to buy $1,500,000
Expiration (months) 12
Risk-free rate 5%
Chapter 25
Question 12
Input Area:
Output Area:
in order to guarantee the right to sell
the land for 1,500,000$
Current selling price 1,350,000$
Price % increase 7%
Standard deviation 30%
Option to sell 1,500,000$
Expiration (months) 12
Risk-free rate 5%
Chapter 25
Question 11
Input Area:
Output Area:
Chapter 25
Question 12
Input Area:
Output Area:
Exercise price 45$
Expiration (months) 4
Call option 4.15$
Stock price 44.80$
Risk-free rate 5%
Chapter 25
Question 13
Input Area:
Output Area:
Expiration (months) 6
Stock price 75$
Standard deviation 20%
Risk-free rate 4%
Exercise price –$
Chapter 25
Question 14
Input Area:
Output Area:
Standard deviation 0%
no risk call option formula discussed in
Exercise price 65$
Expiration (months) 6
Stock price 73$
Risk-free rate 5%
Standard deviation 0%
Chapter 25
Question 15
Input Area:
Output Area:
Stock price 47$
Expiration (months) 12
Exercise price 50$
Risk-free rate 12%
Standard deviation ∞