Consider again the at-the-money call option on Roslin Robotics evaluated in Problem 11. What is the impact on the value of this call option of each of the following changes (evaluated separately)? a....

Consider again the at-the-money call option on Roslin Robotics evaluated in Problem 11.

What is the impact on the value of this call option of each of the following changes (evaluated separately)?

a. The stock price increases by $1 to $61.

b. The volatility of the stock goes up by 1% to 31%.

c. Interest rates go up by 1% to 6%.

d. One month elapses, with no other change.

e. The firm announces a $1 dividend, paid immediately.

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11

Roslin Robotics stock has a volatility of 30% and a current stock price of $60 per share. Roslin pays no dividends. The risk-free interest is 5%. Determine the Black-Scholes value of a one year, at the money call option on Roslin stock.