Question
In: Finance
A call option on Jupiter Motors stock with an exercise price of $80.00 and one-year expiration...
A call option on Jupiter Motors stock with an exercise price of $80.00 and one-year expiration is selling at $7.48. A put option on Jupiter stock with an exercise price of $80.00 and one-year expiration is selling at $9.12. If the risk-free rate is 3% and Jupiter pays no dividends, what should the stock price be? (Do not round intermediate calculations. Round your answer to 2 decimal places.; Use CONTINUOUS COMPOUNDING)
Stock price $
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You are attempting to value a call option with an exercise price of $140 and one year to expiration. The underlying stock pays no dividends, its current price is $140, and you believe it has a 50% chance of increasing to $160 and a 50% chance of decreasing to $120. The risk-free rate of interest is 10%. Based upon your assumptions, calculate your estimate of the the call option's value using the two-state stock price model. (Do not round intermediate calculations. Round your answer to 2 decimal places.)
Value of the call $
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make sure the answers for these questions are correct please please
Solutions
jeff jeffy answered 6 months agoRelated Solutions
Consider a call option with an exercise price of $110 and one year to expiration. The...
Consider a call option with an exercise price of $110 and one
year to expiration. The underlying stock pays no dividends, its
current price is $110, and you believe it has a 50% chance of
increasing to $120 and a 50% chance of decreasing to $100. The
risk-free rate of interest is 10%
What is the hedge ratio?
What is the value of the riskless (perfectly hedged) portfolio
one year from now?
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Put = 626. You believe the market has overestimated
volatility in the S&P 500 index. Construct a synthetic ‘short
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A call option with an exercise price of $110 has six months to the expiration date....
A call option with an exercise price of $110 has six months to
the expiration date. Currently, the stock is sold at a price of
$120. At the expiration date, the underlying stock has two possible
ending prices: $150 or $105. The risk-free rate of return is 8
percent per annum. Calculate the price of this call option using
binomial option pricing model. (Hint: You can use any of the two
methods of your preference)
A call option with an exercise price of $110 has six months to the expiration date....
A call option with an exercise price of $110 has six months to
the expiration date.
Currently, the stock is sold at a price of $120. At the expiration
date, the underlying stock has
two possible ending prices: $150 or $105. The risk-free rate of
return is 8 percent per annum.
Calculate the price of this call option using binomial option
pricing model.
Suppose you write a May expiration call option on Delta Airlines with exercise price $50 and...
Suppose you write a May expiration call option on Delta Airlines
with exercise price $50 and at the same time, write a Delta Airline
put option with exercise price $50. The premium of the call option
is $0.91 and the premium of the put option is $0.54. Assume Delta
Airlines will not pay any dividend before these options expire in
May.
a. Draw the payoff of this option portfolio at option expiration
as a function of Delta Airlines stock price...
. A stock sells for $110. A call option on the stock has an exercise price...
. A stock sells for $110. A call option on the stock has an
exercise price of $105 and expires in 43 days. If the interest rate
is 0.11 and the standard deviation of the stock’s return is 0.25.
a) Calculate the call using the Black-Scholes model b) What would
be the price of a put with an exercise price of $140 and the same
time until expiration? c) How does an increase in the volatility
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) Consider a one-year European call option on a stock when the
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(a) Use the DerivaGem software to calculate the price, delta,
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(b) Verify that delta is correct by changing the stock price to
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A stock sells for $110. A call option on the stock has exercise price of $105...
A stock sells for $110. A call option on the stock has exercise
price of $105 and expires in 43 days. Assume that the interest rate
is 0.11 and the standard deviation of the stock’s return is
0.25.
What is the call price according to the black-Scholes
model?
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