Question
In: Accounting
Calculate the price of a four-month European put option on a non-dividend-paying stock with a strike...
Calculate the price of a four-month European put option on a non-dividend-paying stock with a strike price of $60 when the current stock price is $55, the continuously compounded risk-free interest rate is 10% per annum, and the volatility is 31% per annum.
Calculate the price of the put option if a dividend of $2.50 expected in the next three months.
Please show all work. Thank you!
Solutions
ekkarill92 answered 2 years agoRelated Solutions
Calculate the price of a three-month European put option on a non-dividend-paying stock with a strike...
Calculate the price of a three-month European put option on
a non-dividend-paying stock with a strike price of $50 when the
current stock price is $50, the risk-free interest rate is 10% per
annum, and the volatility is 30% per annum.
A two-month European put option on a non-dividend-paying stock has a strike price of $65. The...
A two-month European put option on a non-dividend-paying stock
has a strike price of $65. The risk-free interest rate is 5% per
annum and the stock price is $58.
a) What is the lower bound for this put option?
b) If the market price of this put option is $3, is there an
arbitrage opportunity?
c) If so, define the arbitrage strategy.
A two-month European put option on a non-dividend-paying stock has a strike price of $65. The...
A two-month European put option on a non-dividend-paying stock
has a strike price of $65. The risk-free interest rate is 5% per
annum and the stock price is $58. a) What is the lower bound for
this put option? b) If the market price of this put option is $3,
is there an arbitrage opportunity? c) If so, define the arbitrage
strategy.
The price of a European call option on a non-dividend-paying stock with a strike price of...
The price of a European call option on a non-dividend-paying
stock with a strike price of $50 is $6 and the stock price is $52.
The continuously compounded risk-free rate is 3% and the time to
maturity is six months. What is the price of a six-month European
put option on the stock with a strike price of $50?
A put option on a non-dividend-paying stock is priced at $5.50. The strike price of the...
A put option on a non-dividend-paying stock is priced at $5.50.
The strike price of the put option is $55. When current stock price
is $60, this put option has an intrinsic value of ( ) and a time
value of ( )
a. $5.50, $0
b. $5.00, $5.50
c. $5.50 , $5.00
d. $0, $5.50
What is the price of a European put option on a non- dividend-paying stock when the...
What is the price of a European put option on a non-
dividend-paying stock when the stock price is $68, the strike price
is $70, the risk-free interest rate is 6% per annum, the volatility
is 35% per annum, and the time to maturity is six months?
What is the price of a European put option on a non-dividend-paying stock when the stock...
What is the price of a European put option on a
non-dividend-paying stock when the stock price is $100, the strike
price is $90, the risk- free interest rate is $5% per annum, the
volatility is 35% per annum (continuously compounded), and the time
to maturity is 6 months? Use the Black-Scholes-Merton option
pricing formula.
One second later, the stock is traded at 101. How would you
estimate the new price for the option without the
Black-Scholes-Merton option pricing formula?
What is the price of a European put option on a non-dividend-paying stock when the stock...
What is the price of a European put option on a
non-dividend-paying stock when the stock price is $69, the strike
price is $70, the risk-free interest rate is 5% per annum, the
volatility is 35% per annum, and the time to maturity is six
months?
A European put will expire in two months on a non-dividend paying stock. The strike price...
A European put will expire in two months on a non-dividend
paying stock. The strike price for the put is $25 and the price of
the put option is currently $2.00. The current value of the stock
underlying the put option is $18 and the risk-free rate (based on
continuous compounding) is 4%. Using this information explain how
an investor can take advantage of any arbitrage opportunity,
assuming one exists. If arbitrage is possible, calculate the
present value of any...
4. What is the price of a European put option on a non-dividend-paying stock when the...
4. What is the price of a European put option on a
non-dividend-paying stock when the stock price is $69, the strike
price is $70, the risk-free interest rate is 5% per annum, the
volatility is 35% per annum, and the time to maturity is six
months?
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