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A European call option written on one share of Medident Corp. has the following parameter values:...
A European call option written on one share of Medident Corp. has the following parameter values: S = $220, X = $200, r = 5% p.a., sigma = 40% p.a., T = 6 months. Find the call option's premium, rounded to 2 decimals (e.g., 3.24). Do NOT include the $ sign in your answer; write only the numerical value. NOTE: Use the continuous time version of the Black-Scholes equation
Solutions
jeff jeffy answered 2 years agoRelated Solutions
A European call option written on one share of Crook & Crook, Inc. has the following...
A European call option written on one share of Crook &
Crook, Inc. has the following parameter values: S = $31, X = $37, r
= 8% p.a., = 29% p.a., T = 4 months. Find the value of
d2, rounded to 4 decimals (e.g., 0.0712). NOTE: Use the
continuous time version of the equation
A European call option written on one share of Ponce de Leon Foods, Inc. has the...
A European call option written on one share of Ponce de Leon
Foods, Inc. has the following parameter values: S = $116, X = $101,
r = 7% p.a., = 27% p.a., T = 6 months. Find the value of
d1, rounded to 4 decimals (e.g., 0.0712). NOTE: Use the
continuous time version of the equation
A European call option written on one share of Ponce de Leon Foods, Inc. has the...
A European call option written on one share of Ponce de Leon
Foods, Inc. has the following parameter values: S = $118, X = $108,
r = 5% p.a., sigma = 21% p.a., T = 7 months. Find the value of d1,
rounded to 4 decimals (e.g., 0.0712).
QUESTION 2 A European call option written on one share of Crook
& Crook, Inc. has the following parameter values: S = $34, X =
$36, r = 5% p.a., sigma =...
A European PUT option written on one share of Deadwood Lumber Co. stock has the following...
A European PUT option written on one share of Deadwood Lumber
Co. stock has the following parametervalues: S = $28, X = $30, r =
5% p.a., = 40% p.a., T = 12 months. Find the premium of this
option, rounded to 2 decimals (e.g., 1.15; do NOT include a dollar
sign in your answer). NOTE: Use the continuous time version of the
Black-Scholes and Put-Call Parity equations
Assume the following information for a stock and a European call option written on the stock...
Assume the following information for a stock and a European call
option written on the stock ,Exersice price 80,current stock price
70,the variance is0.4,time to expiration 0.5 semi annum ,risk free
rate of return 0.07.Detaermin the time premium using Binomial
,assume it is a two period call option.
Consider an at-the-money European call option with one year left to maturity written on a non-dividend...
Consider an at-the-money European call option with one year left
to maturity written on a non-dividend paying stock. Let today's
stock price be 40 kr and the strike price is 40 kr ,and the stock
volatility be 30%. Furthermore let the risk free interest rate be
6%. Construct a one-year, two-step Binomial tree for the stock and
calculate today’s price of the European call.
Consider an at-the-money European call option with one year left to maturity written on a non-dividend...
Consider an at-the-money European call option with one year left
to maturity written on a non-dividend paying stock. Let today’s
stock price be 80 kr and strike price be 40 krand the stock
volatility be 30%. Furthermore let the risk free interest rate be
6%. Construct a one-year, two-step Binomial tree for the stock and
calculate today’s price of the European call.
In your portfolio you have purchased 1 European Call option and written 1 European Put option...
In your portfolio you have purchased 1 European
Call option and written 1
European Put option on stock ABC for $4 and
$2 respectively. The
strike/exercise prices of both the options are
equal to $50. These options are set to expire on
the 3rd Friday of June 2015. The possible values for the price of
the stock ABC on the 3rd Friday of June 2015 are: $30 with 20%
chance; $50 with 30% chance and $70 with 50% chance. The...
A European call option was written on the non-dividend paying shares of firm X. The option...
A European call option was written on the non-dividend paying
shares of firm X. The option has an exercise price of $51 and
expires in 142 days. The underlying shares of firm X currently sell
for $49.28 and the standard deviation of their continuously
compounded returns is 22%. The annual riskless rate is 1.75%.
A. Using the Black Scholes model, what is the value of the call
option. Assume a 365 day year.
B. Using the put call parity relationship,...
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?
What is the time premium?
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