Question
In: Finance
A non-dividend paying stock has a price of $100. A 3 month Eurpoean call option on...
A non-dividend paying stock has a price of $100. A 3 month Eurpoean call option on the stock with a strike of $95 is worth $9.90. Similarly, a 3 month European put option with the same strike is worth $3.80. If the continuously compounding interest rate is 5% per annum, is there an arbitrage opportunity? If so, how could you set up a portfolio to make a profit from it now (not having to wait for 3 months), and how much is that profit?
Solutions
jeff jeffy answered 1 year agoRelated Solutions
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The price of a non-dividend-paying stock is $74. A three-month
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option?
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?
6. A call option on a non-dividend-paying stock has a market price of $2.50. The stock...
6. A call option on a non-dividend-paying stock has a market
price of $2.50. The stock price is $15, the exercise price is $13,
the time to maturity is three months, and the risk-free interest
rate is 5% per annum. What is the implied volatility?
A one-month European call option on a non-dividend-paying stock is currently selling for$2.50. The stock price...
A
one-month European call option on a non-dividend-paying stock is
currently selling for$2.50. The stock price is $45, the strike
price is $50, and the risk-free interest rate is 5% per annum. What
opportunities are there for an arbitrageur?
What is the price of a European call option in a non-dividend-paying stock when stock price...
What is the price of a European call option in a
non-dividend-paying stock when stock price is $52, the strike price
is $50, the risk-free interest rate is 12% per annum, the
volatility is 30% per annum, and the time to maturity is three
months? What is the price of the call option? (No need to show
work, but you need to report values of N(d1),n(d2) and price of the
call option)
What is the price of a European call option on a non-dividend-paying stock when the stock...
What is the price of a European call option on a
non-dividend-paying stock when the stock price is $102, the strike
price is $100, the risk-free interest rate is 8% per annum, the
volatility is 35% per annum, and the time to maturity is six months
using BSM model. work the problem out do not use excel
What is the price of a European call option on a non-dividend-paying stock when the stock...
What is the price of a European call option on a
non-dividend-paying stock when the stock price is $52, the strike
price is $50, the risk-free interest rate is 12% per annum, the
volatility is 30% per annum, and the time to maturity is three
months? (Hint: Remember BlackSholes-Merton Model. Please refer to
the N(d) tables provided to you to pick the N values you need)
What is the price of a European call option on a non-dividend-paying stock when the stock...
What is the price of a European call option on a
non-dividend-paying stock when the stock price is $52, the strike
price is $50, the risk-free interest rate is 12% per annum, the
volatility is 30% per annum, and the time to maturity is three
months? (Hint: Remember Black- Sholes-Merton Model. Please refer to
the N(d) tables provided to you to pick the N values you
need)
What is the price of a European call option on a non-dividend-paying stock when the stock...
What is the price of a European call option on a
non-dividend-paying stock when the stock price is $60, the strike
price is $60, the risk-free interest rate is 10% per annual, the
volatility is 20% per annual, and the time to maturity is 1 year.
Round d1 and d2 to two decimal points.
Show all work. Do not use an online option price calculator.
What is the price of a European call option on a non- dividend-paying stock when the...
What is the price of a European call option on a non-
dividend-paying stock when the stock price is $51, the strike price
is $50, the risk-free interest rate is 10% per annum, the
volatility is 30% per annum, and the time to maturity is three
months?
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