Question

In: Finance

A call option with an exercise price of $25 and four months to expiration has a...

A call option with an exercise price of $25 and four months to expiration has a price of $2.75. The stock is currently priced at $23.80, and the risk-free rate is 2.5 percent per year, compounded continuously.

What is the price of a put option with the same exercise price?

Solutions

Expert Solution


Related Solutions

A call option with an exercise price of $110 has six months to the expiration date....
A call option with an exercise price of $110 has six months to the expiration date. Currently, the stock is sold at a price of $120. At the expiration date, the underlying stock has two possible ending prices: $150 or $105. The risk-free rate of return is 8 percent per annum. Calculate the price of this call option using binomial option pricing model. (Hint: You can use any of the two methods of your preference)
A call option with an exercise price of $110 has six months to the expiration date....
A call option with an exercise price of $110 has six months to the expiration date. Currently, the stock is sold at a price of $120. At the expiration date, the underlying stock has two possible ending prices: $150 or $105. The risk-free rate of return is 8 percent per annum. Calculate the price of this call option using binomial option pricing model.
Consider a call option with an exercise price of $110 and one year to expiration. The...
Consider a call option with an exercise price of $110 and one year to expiration. The underlying stock pays no dividends, its current price is $110, and you believe it has a 50% chance of increasing to $120 and a 50% chance of decreasing to $100. The risk-free rate of interest is 10% What is the hedge ratio? What is the value of the riskless (perfectly hedged) portfolio one year from now? What is the value of the call option...
Suppose option prices for a Dec. 31 expiration and an exercise price of 2300 are Call...
Suppose option prices for a Dec. 31 expiration and an exercise price of 2300 are Call = 586 and Put = 386. Option prices for a Dec. 31 expiration and an exercise price of 2700 are Call = 426 and Put = 626.  You believe the market has overestimated volatility in the S&P 500 index. Construct a synthetic ‘short straddle’ in which you will have a profit with small changes in the S&P 500 index and a loss with large changes...
An investor has a call option on YZE stock with a strike (exercise) price of $25....
An investor has a call option on YZE stock with a strike (exercise) price of $25. The current price of YZE stock is $22. The investor’s call option is in-the money. True False Explain the answer please.
A call option on Jupiter Motors stock with an exercise price of $80.00 and one-year expiration...
A call option on Jupiter Motors stock with an exercise price of $80.00 and one-year expiration is selling at $7.48. A put option on Jupiter stock with an exercise price of $80.00 and one-year expiration is selling at $9.12. If the risk-free rate is 3% and Jupiter pays no dividends, what should the stock price be? (Do not round intermediate calculations. Round your answer to 2 decimal places.; Use CONTINUOUS COMPOUNDING) Stock price $         ------------------------------------------------------------------------------------------------------------ You are attempting to...
Suppose you write a May expiration call option on Delta Airlines with exercise price $50 and...
Suppose you write a May expiration call option on Delta Airlines with exercise price $50 and at the same time, write a Delta Airline put option with exercise price $50. The premium of the call option is $0.91 and the premium of the put option is $0.54. Assume Delta Airlines will not pay any dividend before these options expire in May. a. Draw the payoff of this option portfolio at option expiration as a function of Delta Airlines stock price...
6 months ago you bought a $5 call option on a stock with an exercise price...
6 months ago you bought a $5 call option on a stock with an exercise price of $60. What is the percentage return? If the stock price at expiration of this option is $54 If the stock price at expiration of this option is $72 6 months ago you bought for $3 a put option on a stock with an exercise price of $60, what is your return on investment? If the stock price at expiration of this option is...
A call option has an exercise price of $30. The stock price is currently $27 and...
A call option has an exercise price of $30. The stock price is currently $27 and the appropriate interest rate is 6%. The option expires in exactly one year and the sigma (The return variability of underlying asset expressed as a decimal) is 0.50 or 50%. At expiration the stock underlying the option is selling for $34.00. What do you do? What is your loss or gain? Group of answer choices A. Let the option expire unexercised since the $4.00...
Call options with an exercise price of $125 and one year to expiration are available. The...
Call options with an exercise price of $125 and one year to expiration are available. The market price of the underlying stock is currently $120, but this market price is expected to either decrease to $110 or increase to $130 in a year's time. Assume the risk-free rate is 6%. What is the value of the option?
ADVERTISEMENT
ADVERTISEMENT
ADVERTISEMENT