Question
In: Finance
Suppose you want to value a European put option under the following assumptions: stock price is...
Suppose you want to value a European put option under the following assumptions: stock price is $100, exercise price is $95, interest rate is 10% per year, dividend yield is 0, time to maturity is 3 months, standard deviation is .5 per year. What is the price of this put using Black-Scholes model?A. $4.88 B. $6.35 C. $10.32 D. None of the above
Solutions
jeff jeffy answered 2 years agoRelated Solutions
Suppose you construct the following European option trades on Apple stock: write a put option with...
Suppose you construct the following European option trades on
Apple stock: write a put option with exercise price $31 and premium
$1.43, and write a call option with exercise price $31 and premium
$3.97. What is your maximum dollar net profit, per share?
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
A European call option and put option on a stock both have a strike price of...
A European call option and put option on a stock both have a
strike price of $21 and an expiration date in 4 months. The call
sells for $2 and the put sells for $1.5. The risk-free rate is 10%
per annum for all maturities, and the current stock price is $20.
The next dividend is expected in 6 months with the value of $1 per
share.
(a) describe the meaning of “put-call parity”. [2
marks]
(b) Check whether the...
A European call option and put option on a stock both have a strike price of...
A European call option and put option on a stock both have a
strike price of $21 and an expiration date in 4 months. The call
sells for $2 and the put sells for $1.5. The risk-free rate is 10%
per annum for all maturities, and the current stock price is $20.
The next dividend is expected in 6 months with the value of $1 per
share.
(a) In your own words, describe the
meaning of “put-call parity”.
(b) Check...
A European call option and put option on a stock both have a strike price of...
A European call option and put option on a stock both have a
strike price of $25 and an expiration date in four months. Both
sell for $4. The risk-free interest rate is 6% per annum, the
current stock price is $23, and a $1 dividend is expected in one
month. Identify the arbitrage opportunity open to a
trader.
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
Q1. The price of a stock is $40. The price of a 1-year European put option...
Q1. The price of a stock is $40. The price of a 1-year European
put option on the stock with a strike of $30 is quoted as $7 and
the price of a 1-year European call option on the stock with a
strike of $50 is quoted as $5. Suppose that an investor buys 100
shares, shorts 100 call options, and buys 100 put options. Draw a
diagram illustrating how the investor’s P&L varies with the
stock price over the...
The current price of a stock is $40. The price of a one-year European put option...
The current 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 at $2 and the price of a one-year European call option on
the stock with a strike price of $50 is quoted at $3.
(2 points) Investor D wants to own the shares but wants to
reduce his initial investment cost. So he buys the stock and shorts
the call option on 100...
1.The price of a three-month European put option on a stock with a strike price of...
1.The price of a three-month European put option on a stock with
a strike price of $60 is $5. There is a $1.0067 dividend expected
in one month. The current stock price is $58 and the continuously
compounded risk-free rate (all maturities) is 8%. What is the price
of a three-month European call option on the same stock with a
strike price of $60?
Select one:
a. $5.19
b. $1.81
c. $2.79
d. $3.19
2.For the above question, if the...
ADVERTISEMENT
ADVERTISEMENT
Latest Questions
- Note: The answers to the following questions should be typed in the block of comments in...
- Python Describe the procedure for setting up the display of an image in a window.
- what are the fundamental similarity and differences between gap and dgap?
- Maria Gonzales is a 57-year-old operating room nurse who works full-time at a local hospital. She...
- Use the bond term's below to answer the question Maturity 7 years Coupon Rate 4% Face...
- What experience have you had with Organization Development or with Change Management? Describe the organization, the...
- 1. Renfro Rentals has issued bonds that have a 12% coupon rate, payable semiannually. The bonds...
ADVERTISEMENT