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Rebecca is interested in purchasing a European call on a hot new stock, Up, Inc. The...
Rebecca is interested in purchasing a European call on a hot new stock, Up, Inc. The call has a strike price of $ 99.00 and expires in 94 days. The current price of Up stock is $ 116.59, and the stock has a standard deviation of 39 % per year. The risk-free interest rate is 6.39 % per year. Up stock pays no dividends. Use a 365-day year.
a. Using the Black-Scholes formula, compute the price of the call. b. Use put-call parity to compute the price of the put with the same strike and expiration date. (Note: Make sure to round all intermediate calculations to at least five decimal places.)
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jeff jeffy answered 1 month agoRelated Solutions
Rebecca is interested in purchasing a European call on a hot new stock, Up, Inc. The...
Rebecca is interested in purchasing a European call on a hot
new stock, Up, Inc. The call has a strike price of $ 97.00 $97.00
and expires in 93 93 days. The current price of Up stock is $
119.82 $119.82, and the stock has a standard deviation of 43 % 43%
per year. The risk-free interest rate is 6.06 % 6.06% per year. Up
stock pays no dividends. Use a 365-day year. a. Using the
Black-Scholes formula, compute the...
Rebecca is interested in purchasing a European call on a hot new stock, Up, Inc. The...
Rebecca is interested in purchasing a European call on a hot
new stock, Up, Inc. The call has a strike price of $ 97.00 and
expires in 95 days. The current price of Up stock is $ 115.78, and
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interest rate is 6.34 % per year. Up stock pays no dividends. Use
a 365-day year.
a. Using the Black-Scholes formula, compute the price of the
call.
b....
Rebecca is interested in purchasing a European call on a hot new stock, Up, Inc. The...
Rebecca is interested in purchasing a European call on a hot
new stock, Up, Inc. The call has a strike price of
$ 95.00
and expires in
89
days. The current price of Up stock is
$ 118.73
and the stock has a standard deviation of 45%
per year. The risk-free interest rate is 6.94%
per year. Up stock pays no dividends. Use a 365-day year.
a. Using the Black-Scholes formula, compute
the price of the call.
b. Use put-call...
Rebecca is interested in purchasing a European call on a hot new stock, Up, Inc. The...
Rebecca is interested in purchasing a European call on a hot
new stock, Up, Inc. The call has a strike price of $ 99.00 and
expires in 85 days. The current price of Up stock is $ 122.42, and
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Consider a European call option on a stock. The stock price is $65, the time to...
Consider a European call option on a stock. The stock price is
$65, the time to maturity is 8 months, the risk-free interest rate
is 10% p.a., the strike is $70, and the volatility is 32%. A
dividend of $1 will be paid after 3 months and again after 6
months. What is price of the option?
Assume the following information for a stock and a European call option written on the stock...
Assume the following information for a stock and a European call
option written on the stock ,Exersice price 80,current stock price
70,the variance is0.4,time to expiration 0.5 semi annum ,risk free
rate of return 0.07.Detaermin the time premium using Binomial
,assume it is a two period call option.
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A European call option on Visa stock costs $85.36, while a
European put option on the same stock costs $31. Both options
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What should be the risk-ree rate (effective annual rate)?
What is the price of a European call option on a non-dividend-paying stock when the stock...
What is the price of a European call option on a
non-dividend-paying stock when the stock price is $102, the strike
price is $100, the risk-free interest rate is 8% per annum, the
volatility is 35% per annum, and the time to maturity is six months
using BSM model. work the problem out do not use excel
The price of a non-dividend-paying stock is $51. A six-month European call on the stock with...
The
price of a non-dividend-paying stock is $51. A six-month European
call on the stock with a strike price of $50 is selling for $5. The
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) Consider a one-year European call option on a stock when the stock price is $30,...
) Consider a one-year European call option on a stock when the
stock price is $30, the strike price is $30, the risk-free rate is
5%, and the volatility is 25% per annum.
(a) Use the DerivaGem software to calculate the price, delta,
gamma, vega, theta, and rho of the option.
(b) Verify that delta is correct by changing the stock price to
$30.1 and recomputing the option price. Verify that gamma is
correct by recomputing the delta for the...
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