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In: Finance
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
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 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
The owner of a European put option on a share has the right, but not the...
The owner of a European put option on a share has the right,
but not the obligation, to sell one share for a fixed price known
as the option’s strike price, on a fixed date known as the option’s
expiry date. If the share price equals S on the option’s
expiry date then the option’s payoff function is the larger of 0
and K − S, where K is the option’s
strike price. This question illustrates what we can learn...
Assume the following for a stock and a call and a put option written on the...
Assume the following for a stock and a call and a put option
written on the stock.
EXERCISE PRICE = $20
CURRENT STOCK PRICE = $20
VARIANCE = .25
TIME TO EXPIRATION = 3 MONTHS
RISK FREE RATE = 3%
Use the Black Scholes procedure to determine the value of the
call option and the value of a put.
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.
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 =...
The price of a stock is $60. The price of a one-year European put option on...
The price of a stock is $60. The price of a one-year European
put option on the stock with a strike price of $45 is quoted as
$10.5 and the price of a one-year European call option on the stock
with a strike price of $75 is quoted as $7.5. Suppose that an
investor buys 100 shares of stock, shorts 100 shares of call
options, and buys 100 shares of put options.
(a) Show the profit (loss) table for the...
The price of a stock is $40. The price of a one-year European put option on...
The price of a stock is $40. The
price of a one-year European put option on the stock with a strike
price of $30 is quoted as $7 and the price of a one-year European
call option on the stock with a strike price of $50 is quoted as
$5. Suppose that an investor buys 100 shares, shorts 100 call
options, and buys 100 put options.
Construct a payoff and profit/loss table
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...
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