Question
In: Finance
Calculate the option price using the following information: Option type European call Time to expiration 4...
Calculate the option price using the following information:
| Option type | European call |
| Time to expiration | 4 months |
| Strike price | $30 |
| Current underlying stock price | $32 |
| Underlying stock expected dividend | $2.00 in 2 months |
| Underlying stock volatility | 40% |
| Risk-free rate | 6% |
| Pricing model | Black-Scholes formula |
Group of answer choices
$3.05
$3.65
$4.32
$5.02
Solutions
Expert Solution
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jeff jeffy answered 3 months agoRelated Solutions
A. What is Price of a European Put option? B. Price of a European Call option?...
A. What is Price of a European Put option?
B. Price of a European Call option?
Spot price = $60
Strike Price = $44
Time to expiration = 6 months
Risk Free rate = 3%
Variance = 22% (use for volatility)
Show steps/formula
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Consider a European call option on a stock. The stock price is
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Calculate the call option value at the end of one period for a European call option...
Calculate the call
option value at the end of one period for a European call option
with the following terms:
The current price of the
underlying asset = $80.
The strike price = $75
The one period, risk-free rate
= 10%
The price of the asset can go
up or down 10% at the end of one period.
What is the fundamental or intrinsic value?
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Question 2: You are to calculate the price a European call option considered “at the money”...
Question 2: You are to calculate the price a European call
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level of 300, a risk free rate of interest of 9% per annum,
volatility of 16% per annum, 6 months until expiration, and has an
annual dividend yield of 2.5%.
Given the following: Call Option: Strike Price = $60, expiration costs $6 Put Option: Strike Price...
Given the following:
Call Option: Strike Price = $60, expiration costs $6
Put Option: Strike Price = $60, expiration costs $4
In excel, show the profit from a straddle for this. What range
of stock prices would lead to a loss for this?
Including a graph would be helpful.
Utilise the following information. Call option price $5 with strike price $60, put option price $4...
Utilise the following information. Call option price $5 with
strike price $60, put option price $4 with strike price $55. They
both expire 90 days from now and are written on the same stock. A
client believes the stock price could move substantially in either
direction in reaction to an expected court decision involving the
company. The client currently owns no stocks.
1. Draw the profit and loss graph of long strangle
2. Draw the profit and loss graph of...
Utilise the following information. Call option price $5 with strike price $60, put option price $4...
Utilise the following information. Call option price $5 with
strike price $60, put option price $4 with strike price $55. They
both expire 90 days from now and are written on the same stock. A
client believes the stock price could move substantially in either
direction in reaction to an expected court decision involving the
company. The client currently owns no stocks.
⦁ Draw the profit and loss graph of long strangle
⦁ Draw the profit and loss graph of...
i. Calculate The Option value for a two period Binomial European Call option with the following...
i. Calculate The Option value for a two period Binomial European
Call option with the following terms and the time values.
Current Price of underlying asset K100
Strike price of underlying asset K80
One period risk free rate of return 10%
Stock price can either go up or down by 15%
ii. compare the results if the stock price can go up or down by
30%
What is the price of a European call option with the following parameters? s0 = $40...
What is the price of a European call option with the following
parameters? s0 = $40 k = $40 r = 10% sigma = 20% T = 0.5 years
(required precision 0.01 +/- 0.01)
What is the price of a European call option with the following parameters? s0 = $41...
What is the price of a European call option with the following
parameters? s0 = $41 k = $42 r = 10% sigma = 20% T = 0.5 years
(required precision 0.01 +/- 0.01) black scholes equation.PNG As a
reminder, the cumulative probability function is calculated in
Excel as follows: N(d1) = NORM.S.DIST(d1,TRUE) N(d2) =
NORM.S.DIST(d2,TRUE) If the above equations don't load for whatever
reason, here are the text versions of the equations as a back-up: c
= So*N(d1) -...
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