the stock price is currently $80. The stock price annual up-move factor is 1.15. The risk...

the stock price is currently $80. The stock price annual up-move factor is 1.15. The risk free rate is 3.9%. Compute the value of a 2 year European call option with an exercise price of $62 using a two-step binomial model

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The stock price is currently $50. The stock price annual up-move factor is 1.15. The risk-free...

The stock price is currently $50. The stock price annual up-move factor is 1.15. The risk-free rate is 3.9%. What is the value of a 1-year European call option with an exercise price of $52. $ 3.21 $ 2.38 $ 2.73 $ 1.95

28. A stock with a current price of $18 will either move up by a factor...

28. A stock with a current price of $18 will either move up by a factor of 1.2 or down by a factor of .9 each period over the next two periods. The risk-free rate of interest is 4.5 percent. What is the current value of a call option with a strike price of $20?

A futures price is currently 100. It is expected to move up to 120 or down...

A futures price is currently 100. It is expected to move up to 120 or down to 70 over the next year. The risk-free interest rate is 6%. What is the value of a 1-year call option with a strike price of 98? Group of answer choices 15 10.4 7.2 5.7

A stock price is currently $80. It is known that at the end of four months...

A stock price is currently $80. It is known that at the end of four months it will be either $75 or $88. The risk free rate is 6 percent per annum with continuous compounding. What is the value of a four–month European put option that is currently $1 out-of-the-money? Use no-arbitrage arguments.

The risk-free rate is 1.15% and the market risk premium is 6.74%. A stock with a...

The risk-free rate is 1.15% and the market risk premium is 6.74%. A stock with a β of 1.31 just paid a dividend of $1.40. The dividend is expected to grow at 22.68% for three years and then grow at 4.35% forever. What is the value of the stock?

Suppose a stock currently trades at a price of 150. The stock price can go up...

Suppose a stock currently trades at a price of 150. The stock price can go up 33% or down 15%.The risk free rate is 4.5% 1. use a one period binomial model to calculate the price of a put option with exercise price of 150. 2. Suppose the put price is currently 14, show how to execute an arbitrage transaxtion that will earn more than the risk free rate . use 10,000 put options. 3. Suppose the put price is...

A stock is currently trading at a price of $80. You decide to place a collar...

A stock is currently trading at a price of $80. You decide to place a collar on this stock. You purchase a put option on the stock, with an exercise price of $75 and a premium of $3.50. You simultaneously sell a call option on the stock with the same maturity and the same premium as the put option. This call option has an exercise price of $90. Determine the value at expiration and the profit for your strategy under...

The current price of a stock is $35, and the annual risk-freerate is 4%. A...

The current price of a stock is $35, and the annual risk-free rate is 4%. A call option with a strike price of $31 and with 1 year until expiration has a current value of $6.24. What is the value of a put option written on the stock with the same exercise price and expiration date as the call option? Do not round intermediate calculations. Round your answer to the nearest cent.

A stock is currently trading at $80. After one period, the price will either increase by...

A stock is currently trading at $80. After one period, the price will either increase by 20% or decrease by 20% and the stock does not pay any dividend. The risk-free rate per period is 2%. Consider a put option on the stock with strike price of $70. Set up a replicating portfolio and price the option.

A stock is currently selling for $50. The stock price could go up by 10 percent...

A stock is currently selling for $50. The stock price could go up by 10 percent or fall by 5 percent each month. The monthly risk-free interest rate is 1 percent. Calculate the price of an American put option on the stock with an exercise price of $55 and a maturity of two months. (Use the two-stage binomial method.) A. $5.10 B. $3.96 C. $4.78 D. $1.19 Why is it A

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