Question
In: Finance
A call option has an exercise price of $40. The stock price is currently $36 and...
- A call option has an exercise price of $40. The stock price is currently $36 and the appropriate interest rate is 6%. The option expires in exactly one year and the return variability of underlying asset is 0.50 or 50%. This is the standard deviation of the return series. How much would you pay for this call option?
- At expiration the stock underlying the option is selling for $41.00. What do you do? What is your loss or gain?
Solutions
jeff jeffy answered 14 hours agoRelated Solutions
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...
Lavender Berhad’s stock is currently selling at RM30. The call stock option with an exercise price...
Lavender Berhad’s stock is currently selling at RM30. The call
stock option with an exercise price of RM25 has 180 days to
expiration. The annual risk-free interest rate is 8%. The variance
has been estimated to be 40% per annum.
Assume: 365 days in a year
From the above information you
are required to answer the questions below:
determine the value of this call option based on Black-Scholes
model.
determine the corresponding value of put
option.
=When you...
. 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...
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?
what is the value of a european call option with an exercise price of $40 and...
what is the value of a european call option with an
exercise price of $40 and a maturity date six months from now if
the stock price is $28 the instantaneous variance of the stock
price is 0.5 and the risk free rate is 6% use both a) two step
binomial tree b) black scholes pricing formula
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...
An investor has a call option on YZE stock with a strike (exercise) price of $25....
An investor has a call option on YZE stock with a strike
(exercise) price of $25. The current price of YZE stock is $22. The
investor’s call option is in-the money.
True
False
Explain the answer please.
The stock price of Lotus is currently $220 and the call option with strike price of...
The stock price of Lotus is currently $220 and the call option
with strike price of $220 is $10. A trader purchases 100 shares of
Lotus stock and short 1 contract of call options with strike price
of $220. As a financial analyst at Citibank, you want to answers
the following two questions: a. What is the maximum potential loss
for the trader? b. When the stock price is $240 and the call is
exercised, what is the trader’s net...
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