Purchase Solution

Black-Scholes Formula in Switzerland

Not what you're looking for?

Ask Custom Question

You are based in Switzerland. You own two call options both maturing in one year: call option to buy USD at strike 1.2200 CHF/USD and call option to buy EUR at strike 1.5200 CHF/EUR. Spot CHF/USD is 1.2255 and spot CHF/EUR is 1.5255. Which of the option costs more?

Purchase this Solution
Solution Summary

Black-Scholes Formula is utilized. The call options for maturing in one year are found for Switzerland.

Solution Preview

See the attached file. Thanks

call options
Posting
You are based in Switzerland. You own two call options both maturing in one year: call option to ...

Purchase this Solution
Free BrainMass Quizzes
Basics of Economics

Quiz will help you to review some basics of microeconomics and macroeconomics which are often not understood.

Economics, Basic Concepts, Demand-Supply-Equilibrium

The quiz tests the basic concepts of demand, supply, and equilibrium in a free market.

Pricing Strategies

Discussion about various pricing techniques of profit-seeking firms.

Elementary Microeconomics

This quiz reviews the basic concept of supply and demand analysis.

Economic Issues and Concepts

This quiz provides a review of the basic microeconomic concepts. Students can test their understanding of major economic issues.

View More Free Quizzes
Related BrainMass Solutions

  • Black-Scholes Formula Price

    464106 Black-Scholes Formula Price Calculate of the price of a call option by binomial tree models and compare the results with the theoretical Black-Scholes formula.

  • Black-Scholes formula: call option price

    This solution calculates the price of a call option using the Black-Scholes formula.

  • Option Pricing-Black Scholes, Put Call Parity

    259556 The Black-Scholes Formula A. Use the Black-scholes formula to find the price of a three-month European call option on a non-dividend-paying stock with a current price of $50.

  • Find the price of the call option by the Black-Scholes

    Find the price of the call option by the Black-Scholes formula rounded to the nearest cent. Thanks for letting me work out your question. I've attached my answer in the Excel file. The price of the call option is $9.03.

  • Black-Scholes to value one-year call option

    Use the Black-Scholes formula to approximate the value of the call option Please see attached file. The solution uses Black-Scholes formula to value one-year call option on one acre of Los Angeles real estate.

  • Black-Scholes Formula for European Stocks

    Use Black-Scholes Formula to calculate the fair price of this option. Suppose theta equals to 10% (t=10%). Please see the attached files. Black-Scholes Formula is applied in the solution.

  • Black-Scholes Option Pricing Model

    Please show formula with the given figures. see attached file Black-Scholes Option Pricing Model has been used for valuing call option on Chaseys' stock.

  • Black Scholes Model - Value of a call option

    Use BLACK SCHOLES Model (formula) s=30.000 x=29.000 r=0.060 t=0.250 Volatility=0.200 Calculation of d1=[ln(S/x)+(r+0.5*volatility^2)*t]/(volatility*t^0.5)= 0.539015517 d2==[ln(S/x)+(r-0.5*volatility^2)*t]/(volatility*t^0.5)=0.439015517 exp

  • Options and Futures

    131668 Options, Black-Scholes, Implied Volatility, Futures Please see the attached file. 1. This problem requires you to use the Black-Scholes formula. A call option with X=$50 on a stock currently priced at S=$55 is selling for $10.

View More Related Solutions