Contemporary Engineering Economics 6th Edition by Chan Park

تمرين 5

Put together a Black-Scholes option calculator in Excel to answer the following.
(a) What is the call-option value with S 0 = $45, K = $48, r = 6%, T =15 months, and volatility = 40%
(b) What is the put-option value with S 0 = $60, K = $65, r = 6%, T =18 months, and volatility = 20%
(c) What is the put-option value with S 0 = $38, K = $40, r = 6%, T = 3 months, and volatility = 60%
(d) What is the call-option value with S 0 = $100, K = $95, r = 8%, T = 3 years, and volatility = 40%