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Current stock price is $150; volatilityis 20% per annum. An at-the-money American put option on the...
Current stock price is $150; volatilityis 20% per annum. An at-the-money American put option on the stock expires in 3 months. Risk free rate is 5% per annum, continuously compounded. There is no dividend expected over the next 3 months. Use a 3-step CRR modelto price this option.
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Solution:
The Price of the option is $5.695. Below is the Excel screenshot of formula used.
Note: Give it a thumbs up if it helps! Thanks in advance!
jeff jeffy answered 2 years agoRelated Solutions
Current stock price is $150; volatility is 20% per annum. An at-the-money European put option on...
Current stock price is $150; volatility is 20% per annum. An
at-the-money European put option on the stock expires in 3 months.
Risk free rate is 5% per annum, continuously compounded. There is
no dividend expected over the next 3 months. Use a 3-step CRR model
to price this option.
The current price of the stock is $160. The put option price for these shares with...
The current price of the stock is $160. The put option price for
these shares with an exercise price of 150 is $7 and the call
option price is also $7 for those shares with the same maturity and
exercise price of 180. ยท put option 1 for a week contract and call
option contracts to purchase shares when selling answer the
following questions.
1) In the expiry of the option, print out the gains and losses
resulting from the...
A put option on a stock expires in 7 months with a strike price of 150....
A put option on a stock expires in 7 months with a strike price
of 150. The interest rate is 5 percent and the standard deviation
of the stock is 25 percent. Graph the value of this put option as
the price of the stock goes from 130 to 170.
Use a 2-step binomial tree to price an american style put option when the current stock...
Use a 2-step binomial tree to price an american style put option
when the current stock price is $50 and the stock price will move
up or down by 20 percent at each time(that is, the ending stock
price are $72,$48, and $32). The strike price on the option is $52
and the risk-free interest rate is 5 percent per step. Please
report your answer to two decimal places.
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...
The price of a non-dividend-paying stock is $66. A two-month American put option on the stock...
The price of a non-dividend-paying stock is $66. A two-month
American put option on the stock with a strike price of $70 is
selling for $10. What is the time value (TV) of this put
option?
A stock`s current price is $30. A put option written on this stock has the exercise...
A stock`s current price is $30. A put option written on this
stock has the exercise price at $32. The time to
maturity of this put option is 2 years, and the risk-free rate
is 5% per year. If currently, this put option is
selling at $2.1, please find the implied volatility of the
stock.
There is an American put option on a stock that expires in two months. The stock...
There is an American put option on a stock that expires in two
months. The stock price is $55, and the standard deviation of the
stock returns is 64 percent. The option has a strike price of $62,
and the risk-free interest rate is an annual percentage rate of 4.4
percent. What is the price of the option? Use a two-state model
with one-month steps. (Do not round intermediate calculations and
round your answer to 2 decimal places, e.g., 32.16.)...
There is an American put option on a stock that expires in two months. The stock...
There is an American put option on a stock that expires in two
months. The stock price is $100 and the standard deviation of the
stock returns is 72 percent. The option has a strike price of $112
and the risk-free interest rate is an annual percentage rate of 5.6
percent.
What is the price of the option? Use a two-state model with
one-month steps
There is an American put option on a stock that expires in two months. The stock...
There is an American put option on a stock that expires in two
months. The stock price is $69 and the standard deviation of the
stock returns is 59 percent. The option has a strike price of $78
and the risk-free interest rate is an annual percentage rate of 5.8
percent.
What is the price of the option? Use a two-state model with
one-month steps. (Do not round intermediate calculations and round
your answer to 2 decimal places, e.g., 32.16.)
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