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. 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 and interest rate changes affect the underlying stock’s return on an option’s value? Explain.
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jeff jeffy answered 2 years agoRelated Solutions
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?
A stock sells for $110.A call option on the stock has an exercise price of $105...
A stock sells for $110.A call option on the stock has an
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
Required:
What is the call price according to the Black Scholes
model?
A non-dividend paying stock sells for $110. A call on the stock has an exercise price...
A non-dividend paying stock sells for $110. A call on the stock
has an exercise price of $105 and expires in 6 months. If the
annual interest rate is 11% (0.11) and the annual standard
deviation of the stock’s returns is 25% (0.25), what is the price
of a European put option according to the Black-Scholes-Merton
option pricing model.
A call and put expire in 0.41 year and have an exercise price of
$100. The underlying stock is worth $90...
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.
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?
What is the value of the call option...
A call option has an exercise price of $30. The stock price is currently $27 and...
A call option has an exercise price of $30. The stock price is
currently $27 and the appropriate interest rate is 6%. The option
expires in exactly one year and the sigma (The return variability
of underlying asset expressed as a decimal) is 0.50 or 50%.
At expiration the stock underlying the option is selling for
$34.00. What do you do? What is your loss or gain?
Group of answer choices
A. Let the option expire unexercised since the $4.00...
You purchased a call option for an Apple stock with the strike price of $110. The...
You purchased a call option for an Apple stock with the strike
price of $110. The option premium was $1. You held the option until
maturity, when the price for each share of Apple was $111. Your
payoff at maturity was_____.
-$2.
$-1
$1
$0
You have written a call option on Walmart common stock. The option has an exercise price...
You have written a call option on Walmart common stock. The
option has an exercise price of $88, and Walmart’s stock currently
trades at $86. The option premium is $1.30 per contract. a. How
much of the option premium is due to intrinsic value versus time
value? b. What is your net profit if Walmart’s stock price
decreases to $84 and stays there until the option expires? c. What
is your net profit on the option if Walmart’s stock price...
You have written a call option on Walmart common stock. The option has an exercise price...
You have written a call option on Walmart common stock. The
option has an exercise price of $77, and Walmart’s stock currently
trades at $75. The option premium is $1.40 per contract.
a. How much of the option premium is due to
intrinsic value versus time value?
b. What is your net profit if Walmart’s stock
price decreases to $73 and stays there until the option
expires?
c. What is your net profit on the option if
Walmart’s stock price...
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