Question
In: Finance
A stock price is currently AUD 70; the risk-free rate is 5% and the volatility is...
A stock price is currently AUD 70; the risk-free rate is 5% and the volatility is 30%. What is the value of a two-year American put option with a strike price of AUD 72
Solutions
jeff jeffy answered 2 years agoRelated Solutions
A stock index is currently 1,000. Its volatility is 20%. The risk-free rate is 5% per...
A stock index is currently 1,000. Its volatility is 20%. The
risk-free rate is 5% per annum
(continuously compounded) for all maturities and the dividend
yield on the index is
3%. Calculate values for u, d, and p when a six-month time step
is used. What is the
value a 12-month American put option with a strike price of 980
given by a two-step
binomial tree.
Current stock price is $50; volatility is 40%; risk free rate is 5%. We have an...
Current stock price is $50; volatility is 40%; risk free rate is
5%. We have an American style put option expires in 6 months. Its
strike price is the maximum price over the life of the option; this
means: its payoff in 6 months is max(0, Smax–
ST). No dividend payments during the 6 months. Use a
2-step CRR binomial model to price this option.
Current stock price is $50; volatility is 40%; risk-free rate is 5%. We have an American...
Current stock price is $50; volatility is 40%; risk-free rate is
5%. We have an American style put option expires in 6 months. Its
strike price is the maximum price over the life of the option; this
means: its payoff in 6 months is max(0, Smax –
ST). No dividend payments during the 6 months. Use a
2-step CRR binomial model to price this option.
A futures price is currently $3000 and its volatility is 25%. The risk-free interest rate is...
A futures price is currently $3000 and its volatility is 25%.
The risk-free interest rate is 5% per annum.
a) Use a two-step binomial tree to derive the value today of a
one-year European put option with a strike price of $2900 written
on the futures contract.
b) Use put-call parity to value the one-year European call
option with a strike price of $2900 written on the futures
contract.
c) How would you hedge today a short position in the...
A futures price is currently $3000 and its volatility is 25%. The risk-free interest rate is...
A futures price is currently $3000 and its volatility is 25%.
The risk-free interest rate is 5% per
annum.
a) Use a two-step binomial tree to derive the value today of a
one-year European put option
with a strike price of $2900 written on the futures
contract.
b) Use put-call parity to value the one-year European call
option with a strike price of $2900
written on the futures contract.
c) How would you hedge today a short position in the...
A stock price is $50 with annual volatility of 20%. Assume a risk-free rate of 6%...
A stock price is $50 with annual volatility of 20%. Assume a
risk-free rate of 6% p.a. The strike price of a European put is $50
and the time to maturity is 4 months. Calculate the following
Greeks for the put:
11.1 Delta
11.2 Theta
11.3 Gamma
11.4 Vega
11.5 Rho
If the stock price changes by $2 over a short period of time,
estimate the change in option price using the Greeks?
A stock index is currently 1,500. Its volatility is 18%. The risk-free rate is 4% per...
A stock index is currently 1,500. Its volatility is 18%. The
risk-free rate is 4% per annum for all maturities and the dividend
yield on the index is 2.5% (both continuously compounded).
Calculate values for u, d, and p when a 6-month time step is used.
What is value of a 12-month European put option with a strike price
of 1,480 given by a two-step binomial tree?
Calculate the Implied Volatility of the following options on Stock XYX. Stock Price=$50; Risk Free Rate...
Calculate the Implied Volatility of the following options on
Stock XYX.
Stock Price=$50; Risk Free Rate =10%; Dividends =$0;
Expiration Date=1 Year; Strike Price =$50; Option Price= $7
The volatility of a non-dividend-paying stock whose price is $45, is 20%. The risk-free rate is...
The volatility of a non-dividend-paying stock whose price is
$45, is 20%. The risk-free rate is 3%
per annum (continuously compounded) for all maturities. Use a
two-step tree to calculate the value
of a derivative that pays off [max(St − 48, 0)]" where is the stock
price in four months?
The volatility of a non-dividend-paying stock whose price is $55, is 25%. The risk-free rate is...
The volatility of a non-dividend-paying stock whose price is
$55, is 25%. The risk-free rate is 4% per annum (continuously
compounded) for all maturities. Use a two-step tree to calculate
the value of a derivative that pays off [max(St − 62, 0)]" where St
is the stock price in four months?
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