The current price of a stock is $32, and the annual risk-free rate is 5%. A...

The current price of a stock is $32, and the annual risk-free rate is 5%. A call option with a strike price of $29 and with 1 year until expiration has a current value of $6.40. 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.

Expert Solution

SEE THE IMAGE. ANY DOUBTS, FEEL FREE TO ASK. THUMBS UP PLEASE

NO INTERMEDIATE ROUNDING IS DONE. AS SUCH, IF WE ROUND THE FIGURES, ANSWER WILL BE 2. AS ROUNDING IS NOT DONE, IT COMES TO 1.99

jeff jeffy answered 3 months ago

The current price of a stock is $ 55.52 and the annual effective risk-free rate is...

The current price of a stock is $ 55.52 and the annual effective risk-free rate is 3.4 percent. A call option with an exercise price of $55 and one year until expiration has a current value of $ 12.80 . What is the value of a put option written on the stock with the same exercise price and expiration date as the call option? Show your answer to the nearest .01. Do not use $ or , in your answer....

The current price of a stock is $ 54.61 and the annual effective risk-free rate is 7.0 percent.

The current price of a stock is $ 54.61 and the annual effective risk-free rate is 7.0 percent. A call option with an exercise price of $55 and one year until expiration has a current value of $ 11.37 . What is the value of a put option written on the stock with the same exercise price and expiration date as the call option? Show your answer to the nearest .01. Do not use $ or , in your answer....

suppose that the stock price $32, the risk-free interest rate is 10% per year the price...

suppose that the stock price $32, the risk-free interest rate is 10% per year the price of a 4 month european call option is $2.85, and the price of a 4 month european put option is $2.65. both options have the strike price $35. describe an arbitrage strategy and justify it with appropriate calculations.

Current stock price is $50; volatility is 40%; risk free rate is 5%. We have an...

Current stock price is $50; volatility is 40%; risk free rate is 5%. We have an American style put option expires in 6 months. Its strike price is the maximum price over the life of the option; this means: its payoff in 6 months is max(0, Smax– ST). No dividend payments during the 6 months. Use a 2-step CRR binomial model to price this option.

Current stock price is $50; volatility is 40%; risk-free rate is 5%. We have an American...

Current stock price is $50; volatility is 40%; risk-free rate is 5%. We have an American style put option expires in 6 months. Its strike price is the maximum price over the life of the option; this means: its payoff in 6 months is max(0, Smax – ST). No dividend payments during the 6 months. Use a 2-step CRR binomial model to price this option.

The current price of a piece of Gold jewelry is $1380. The annual risk free rate...

The current price of a piece of Gold jewelry is $1380. The annual risk free rate is 3 percent. A put option on the jewelry with an exercise price of $1390 and one year until expiration has a current value of $19.25. A call option on the jewelry with an exercise price of $1390 has a current value of $21.35 is there an arbitrage opportunity? If yes, what is the value of the arbitrage? Explain exactly how exploit the arbitrage

The current stock price is $100, the exercise price is $105.1271, the risk-free interest rate is...

The current stock price is $100, the exercise price is $105.1271, the risk-free interest rate is 5 percent (continuously compounded), the volatility is 30 percent, and the time to expiration is one year (365 days). a. Using the BSM model, compute the call and put prices for a stock option. b. In the previous question (3a) you should get the same price for the call and the put, or very similar (the differences are due to the rounding of the...

The current stock price of KMW is $27, the risk-free rate of return is 4%, and...

The current stock price of KMW is $27, the risk-free rate of return is 4%, and the standard deviation is 30%. What is the price of a 63-day call option with an exercise price of $25?

A stock price is currently AUD 70; the risk-free rate is 5% and the volatility is...

A stock price is currently AUD 70; the risk-free rate is 5% and the volatility is 30%. What is the value of a two-year American put option with a strike price of AUD 72

A stock price is $50 with annual volatility of 20%. Assume a risk-free rate of 6%...

A stock price is $50 with annual volatility of 20%. Assume a risk-free rate of 6% p.a. The strike price of a European put is $50 and the time to maturity is 4 months. Calculate the following Greeks for the put: 11.1 Delta 11.2 Theta 11.3 Gamma 11.4 Vega 11.5 Rho If the stock price changes by $2 over a short period of time, estimate the change in option price using the Greeks?

Question