Question
In: Finance
Assume you are trading an at-the-money option on a non-dividend paying stock. Let the stock price...
Assume you are trading an at-the-money option on a non-dividend paying stock. Let the stock price be $120, the 1-year interest rate be 3% continuously compounded, the stock volatility be 20%, and the time to maturity is 1 year. The option price is?
Solutions
jeff jeffy answered 4 months agoRelated Solutions
Assume an option on a non-dividend paying stock when the stock price is £52, the strike...
Assume an 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.
a) Assuming that the option is a European call option, use the
Black-Scholes formula to find the value of the option (the option
premium).
b) Assuming that the option is an American call option, can you
use the Black-Scholes formula to...
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
The price of a European call option on a non-dividend-paying stock with a strike price of...
The price of a European call option on a non-dividend-paying
stock with a strike price of $50 is $6 and the stock price is $52.
The continuously compounded risk-free rate is 3% and the time to
maturity is six months. What is the price of a six-month European
put option on the stock with a strike price of $50?
Consider an option on a non-dividend-paying stock when the stock price is $30, the exercise price...
Consider an option on a non-dividend-paying stock when the stock
price is $30, the exercise price is $29, the risk-free interest
rate is 5% per annum, the volatility is 25% per annum, and the time
to maturity is four months.
1. What is the price of the option if
it is a European call?
2. What is the price of the option if
it is an American call?
Consider an option on a non-dividend-paying stock when the stock price is $40, the strike price...
Consider an option on a non-dividend-paying stock when
the stock price is $40, the strike price of $38, the risk-free
interest rate is 10% per annum, the volatility is 35% per annum,
and the time to maturity is five months.
1. What is the price of the option if it is a European
call?
2. What is the price of the option if it is a European
put?
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)
Consider an option on a non-dividend-paying stock when the stock price is $30, the exercise price...
Consider an option on a non-dividend-paying stock when the stock
price is $30, the exercise price is $29, the risk-free interest
rate is 5% per annum, the volatility is 25% per annum, and the time
to maturity is four months.
What is the price of the option if it is a European call?
What is the price of the option if it is an American call?
What is the price of the option if it is a European put?
Verify...
Consider an option on a non-dividend-paying stock when the stock price is $48, the exercise price...
Consider an option on a non-dividend-paying stock when the stock
price is $48, the exercise price is $46, the risk-free interest
rate is 6% per annum, the volatility is 20% per annum, and 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 a
European put? (c) What is the price of the option if it is an
American...
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
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