Corporate Finance Seminar 6
Problem 1
i)
2
𝑑1 = (𝑙𝑛(40/45) + (0. 08 + 0. 15 /2)1)/0. 15 1 = − 0. 17689
𝑑2 = − 0. 17689 − 0. 15 1 = − 0. 32689
ii)
Using excel formula “=NORM.S.DIST(d_1, TRUE)”
N(d_1) =
0.429797
N(d_2) =
0.371876
Price of the call option:
c=S_0 N(d_1 )-Ke^(-rT) N(d_2)
C = 40*0.429797 - 45e^(-0.08*1)*0.371876
C = 1.744
N(-d_1) =
0.570203
N(-d_2) =
0.628124
Put option price:
p=Ke^(-rT) N(-d_2 )-S_0 N(〖-d〗_1 )
−0.08*1
𝑃 = 45 * 𝑒 * 0. 628124 − 40 * 0. 570203 = 3. 2843
Problem 1
i)
2
𝑑1 = (𝑙𝑛(40/45) + (0. 08 + 0. 15 /2)1)/0. 15 1 = − 0. 17689
𝑑2 = − 0. 17689 − 0. 15 1 = − 0. 32689
ii)
Using excel formula “=NORM.S.DIST(d_1, TRUE)”
N(d_1) =
0.429797
N(d_2) =
0.371876
Price of the call option:
c=S_0 N(d_1 )-Ke^(-rT) N(d_2)
C = 40*0.429797 - 45e^(-0.08*1)*0.371876
C = 1.744
N(-d_1) =
0.570203
N(-d_2) =
0.628124
Put option price:
p=Ke^(-rT) N(-d_2 )-S_0 N(〖-d〗_1 )
−0.08*1
𝑃 = 45 * 𝑒 * 0. 628124 − 40 * 0. 570203 = 3. 2843
