Question
In: Finance
Consider a call option written on a non-dividend-paying stock when the current stock price is $35,...
Consider a call option written on a non-dividend-paying stock when the current stock price is $35, the exercise price is $30, the risk-free interest rate is 5% per annum, the volatility is 35% per annum, and the time to maturity is 4 months. a) What is the price of a European call option written on the stock? b) What is the price of an American call option written on the stock? c) Assume that the stock will pay a dividend in 2 months. The expected dividend is 60 cents. What is the price of a European call option written on the dividend-paying stock? Important: Please show all your steps to the solution.
Solutions
jeff jeffy answered 2 years agoRelated Solutions
Consider a call option written on a non-dividend-paying stock when the current stock price is $35,...
Consider a call option written on a non-dividend-paying stock
when the current stock price is $35, the exercise price is $30, the
risk-free interest rate is 5% per annum, the volatility is 35% per
annum, and the time to maturity is 4 months.
a) What is the price of a European call option written on the
stock?
b) What is the price of an American call option written on the
stock?
c) Assume that the stock will pay a dividend...
Consider an option on a non dividend paying stock when the stock price is $35, the...
Consider an option on a non dividend paying stock when the stock
price is $35, the exercise price is $31, the risk free interest
rate is 4% per annum, the volatility is 20% per annum, and the time
to maturity is four months.
a.What is the price of the option if it is a European call?
b. What is the price of the option if it is an American
call?
c. What is the price of the option if it...
Consider an option on a non dividend paying stock when the stock price is $35, the...
Consider an option on a non dividend paying stock when the stock
price is $35, the exercise price is $31, the risk free interest
rate is 4% per annum, the volatility is 20% per annum, and the time
to maturity is four months. Verify that put call parity holds
Consider a European call option on a non-dividend-paying stock when the stock price is $90, the...
Consider a European call option on a non-dividend-paying
stock when the stock price is $90, the strike is $92, the risk-free
rate is 2% per annum, the volatility is 30% per annum. The option
expires in one month.
a) Use the DerivaGem software or the Black-Scholes
formula to price the call option above.
b) Use put-call parity (ch10) and result from a) to
calculate the price of a European put option with the strike of
$92.
What is the price of a European call option on a non- dividend-paying stock when the...
What is the price of a European call option on a non-
dividend-paying stock when the stock price is $51, the strike price
is $50, the risk-free interest rate is 10% per annum, the
volatility is 30% per annum, and the time to maturity is three
months?
What is the price of a European call option in a non-dividend-paying stock when stock price...
What is the price of a European call option in a
non-dividend-paying stock when stock price is $52, the strike price
is $50, the risk-free interest rate is 12% per annum, the
volatility is 30% per annum, and the time to maturity is three
months? What is the price of the call option? (No need to show
work, but you need to report values of N(d1),n(d2) and price of the
call option)
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
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 $52, the strike
price is $50, the risk-free interest rate is 12% per annum, the
volatility is 30% per annum, and the time to maturity is three
months? (Hint: Remember BlackSholes-Merton Model. Please refer to
the N(d) tables provided to you to pick the N values you need)
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 $52, the strike
price is $50, the risk-free interest rate is 12% per annum, the
volatility is 30% per annum, and the time to maturity is three
months? (Hint: Remember Black- Sholes-Merton Model. Please refer to
the N(d) tables provided to you to pick the N values you
need)
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 $60, the strike
price is $60, the risk-free interest rate is 10% per annual, the
volatility is 20% per annual, and the time to maturity is 1 year.
Round d1 and d2 to two decimal points.
Show all work. Do not use an online option price calculator.
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