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A European call option and a European put option on a stock both have a strike...
A European call option and a European put option on a stock both have a strike price of $45 and expire in 6 months. Currently, the stock price is $48.11 and the put price is $4.11. The risk-free rate is 2% per annum continuous compounding. Calculate the CALL price.
Solutions
jeff jeffy answered 6 months agoRelated Solutions
A European call option and put option on a stock both have a strike price of...
A European call option and put option on a stock both have a
strike price of $21 and an expiration date in 4 months. The call
sells for $2 and the put sells for $1.5. The risk-free rate is 10%
per annum for all maturities, and the current stock price is $20.
The next dividend is expected in 6 months with the value of $1 per
share.
(a) describe the meaning of “put-call parity”. [2
marks]
(b) Check whether the...
A European call option and put option on a stock both have a strike price of...
A European call option and put option on a stock both have a
strike price of $21 and an expiration date in 4 months. The call
sells for $2 and the put sells for $1.5. The risk-free rate is 10%
per annum for all maturities, and the current stock price is $20.
The next dividend is expected in 6 months with the value of $1 per
share.
(a) In your own words, describe the
meaning of “put-call parity”.
(b) Check...
A European call option and put option on a stock both have a strike price of...
A European call option and put option on a stock both have a
strike price of $25 and an expiration date in four months. Both
sell for $4. The risk-free interest rate is 6% per annum, the
current stock price is $23, and a $1 dividend is expected in one
month. Identify the arbitrage opportunity open to a
trader.
Consider a European call option and a put option on a stock each with a strike...
Consider a European call option and a put option on a stock each
with a strike price of K = $22 and each expires in six months. The
price of call is C = $3 and the price of put is P = $4. The risk
free interest rate is 10% per annum and current stock price is S0 =
$20. Show how to create an arbitrage strategy and calculate the
arbitrage traders profit.
A European call and put both have a strike price of $20 and expire in 3...
A European call and put both have a strike price of $20 and
expire in 3 months. Both sell for $1.5. Assume the annual interest
rate is 12%, the current stock price is $19 and the dividend yield
is 5%. What opportunities are available to an arbitrageur? Show the
cash flows associated with your arbitrage strategy.
A European call option on Visa stock costs $85.36, while a European put option on the...
A European call option on Visa stock costs $85.36, while a
European put option on the same stock costs $31. Both options
expire in 0.5 years and have a strike price of 800. Google does not
pay dividends and its stock price is $850.
What should be the risk-ree rate (effective annual rate)?
Both a call and a put currently are traded on stock XYZ; both have strike prices...
Both a call and a put currently are traded on stock XYZ; both
have strike prices of $35 and expirations of 6 months.
a. What will be the profit to an investor who buys
the call for $5 in the following scenarios for stock prices in 6
months? (i) $40; (ii) $45; (iii) $50; (iv) $55; (v) $60.
(Leave no cells blank - be certain to enter "0" wherever
required. Negative amounts should be indicated by a minus sign.
Round...
Both a call and a put currently are traded on stock XYZ; both have strike prices...
Both a call and a put currently are traded on stock XYZ; both
have strike prices of $50 and expirations of 6 months.
a. What will be the profit to an investor who buys
the call for $4.8 in the following scenarios for stock prices in 6
months? (i) $40; (ii) $45; (iii) $50; (iv) $55; (v) $60.
(Leave no cells blank - be certain to enter "0" wherever
required. Negative amounts should be indicated by a minus sign.
Round...
Both a call and a put currently are traded on stock XYZ; both have strike prices...
Both a call and a put currently are traded on stock XYZ; both
have strike prices of $54 and maturities of six months.
a.
What will be the profit/loss to an investor who buys the call
for $4.40 in the following scenarios for stock prices in six
months? (Loss amounts should be indicated by a minus sign.
Round your answers to 2 decimal places.)
Stock Price
Profit/Loss
a.
$44
$
b.
49
c.
54
d....
Suppose that a 6-month European call A option on a stock with a strike price of...
Suppose that a 6-month European call A option on a stock with a
strike price of $75 costs $5 and is held until maturity, and
6-month European call B option on a stock with a strike price of
$80 costs $3 and is held until maturity. The underlying stock price
is $73 with a volatility of 15%. Risk-free interest rates (all
maturities) are 10% per annum with continuous compounding.
(a) Construct a butterfly spread with the two kinds of options....
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