Question
In: Finance
5. J-Rata Corp shares are currently trading at $30 each. It is expected to increase by...
5. J-Rata Corp shares are currently trading at $30 each. It is expected to increase by 10% or decrease by 6% during the next two-three months. If its strike price at maturity in six months is set as $32 and the risk free rate is 8% per annum for all maturities:
(a) calculate its call options price and its put option price currently.
(b) Test and prove that the put-call parity is holding based on your option pricing.
Solutions
Expert Solution
| As per put call parity |
| Call price + PV of exercise price = Spot price + Put price |
| 2.9179+32*e^(-0.08*0.5)=30+Put value |
| Put value = 3.6632 |
jeff jeffy answered 2 years agoRelated Solutions
J-Rata Corp shares are currently trading at $30 each. It is expected to increase by 10%...
J-Rata Corp shares are currently trading at $30 each. It is
expected to increase by 10% or decrease by 6% during the next
two-three months. If its strike price at maturity in six months is
set as $32 and the risk free rate is 8% per annum for all
maturities: calculate its call options price and its put option
price currently. Test and prove that the put-call parity is holding
based on your option pricing.
J-Rata Corp shares are currently trading at $30 each. It is expected to increase by 10%...
J-Rata Corp shares are currently trading at $30 each. It is
expected to increase by 10% or decrease by 6% during the next
two-three months. If its strike price at maturity in six months is
set as $32 and the risk free rate is 8% per annum for all
maturities:
calculate its call options price and its put option price
currently.
Test and prove that the put-call parity is holding based on
your option pricing.
Simon Corp shares are currently trading at $30 each. It is expected to increase by 10%...
Simon Corp shares are currently trading at $30 each. It is
expected to increase by 10% or decrease by 6% during the next
two-three months. If its strike price at maturity in six months is
set as $32 and the risk free rate is 8% per annum for all
maturities: (a) calculate its call options price and its put option
price currently. (b) Test and prove that the put-call parity is
holding based on your option pricing.
Missi Corp. shares are currently trading at $14.00 each. A three-month put option on this share...
Missi Corp. shares are currently trading at $14.00 each. A
three-month put option on this share is priced $0.50 at a strike
price of $15.00. The risk free interest is 10% per annum for all
maturities. Observing this data, identify and calculate what are
the arbitrage opportunities available.
Mazzi Corp. shares are currently trading at RM14.00 each. A three-month put option on this share...
Mazzi Corp. shares are currently trading at RM14.00 each. A
three-month put option on this share is priced RM0.50 at a strike
price of RM15.00. The risk free interest is 10% per annum for all
maturities. Observing this data, identify and calculate what are
the arbitrage opportunities available.
Mazzi Corp. shares are currently trading at RM14.00 each. A three-month put option on this share...
Mazzi Corp. shares are currently trading at RM14.00 each. A
three-month put option on this share is priced RM0.50 at a strike
price of RM15.00. The risk free interest is 10% per annum for all
maturities. Observing this data, identify and calculate what are
the arbitrage opportunities available.
ABL shares are currently trading at a price of $33, while HHT shares are trading at...
ABL shares are currently trading at a price of $33, while HHT
shares are trading at a price of $48.74. The risk-free rate is
1.22% per year. Using the information above, perform each of the
following tasks:
Find the Black-Scholes price of the call on ABL with a strike
price of $34.59 if there is 6 months until the call expires and the
annual standard deviation of the stock price is 20%.
A stock is currently trading for $100 each month the stock when I the increase in...
A stock is currently trading for $100 each month the
stock when I the increase in price by a factor of U equals 1.05 or
fall by a factor of D equals 0.90 the risk free rate of interest
per month is 0.1668% in simple terms and investment of a dollar at
the risk free rate returned 1.01668 after 1 month what is the price
of a 100 strike to month European put option?
XYZ LTD shares are currently trading at $9.30. You currently hold a large parcel of shares...
XYZ LTD shares are currently trading at $9.30. You currently
hold a large parcel of shares in XYZ and are concerned that the
future share price may fall and your investment will decrease in
value. You purchase a put option with an exercise price of $8.85
per share and pay a premium of $0.40 per share. Draw a fully
labelled diagram of the position you have entered into.
"The Bold and Beautiful company has 5 million shares outstanding, now trading at £30 per share. The firm has estimated the expected rate of return
"The Bold and Beautiful company has 5 million shares outstanding, now trading at £30 per share. The firm has estimated the expected rate of return to equity at 8%. It has also issued long-term debt securities at an interest rate of 6%. Assume that this firm has issued a £100 million bond.a. What is firm's WACC?b. If the firm pays tax at a marginal rate of 30%, what is its after-tax WACC? c. Briefly discuss the Modigliani-Miller propositions with regard...
ADVERTISEMENT
ADVERTISEMENT
Latest Questions
- Joni is a financial planner for ABC firm. She provided all of her clients with the...
- Suppose you plan to retire in 40 years. If you make 10 annual investments of $...
- PLEASE DONT FORGET TO SOLVE THE ASSIGNMENT QUESTION MOST IMP: Ex1) Download the code from the...
- Customer is saying website is running slow when his end clients are trying to access the...
- Note: The answers to the following questions should be typed in the block of comments in...
- Python Describe the procedure for setting up the display of an image in a window.
- what are the fundamental similarity and differences between gap and dgap?
ADVERTISEMENT