Multiple Choice
The current stock price of Johnson and Johnson is $64 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 20%. You wish to purchase a call option on this stock with an exercise price of $55 and an expiration date 73 days from now.
-Using the Black-Scholes OPM,the call option should be worth __________ today.
A) $0.01
B) $0.08
C) $9.26
D) $9.62
Correct Answer:
Verified
Correct Answer:
Verified
Q21: The option smirk in the Black-Scholes option
Q37: Hedge ratios for long calls are always
Q56: If you have an extremely "bullish" outlook
Q57: What aspect of the time value of
Q58: The current stock price of Johnson and
Q59: If you know that a call option
Q60: What would have been the cost of
Q64: The percentage change in the stock call
Q65: Hedge ratios for long call position are
Q66: The current stock price of Alcoa is