Question
In: Finance
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.
Solutions
Expert Solution
Solution:
We can calculate the value of put premium using Black scholes model and then we can graph it.
In the given diagram, using Black Scholes model put premium is calculated and graph has been prepared.
jeff jeffy answered 1 year agoRelated Solutions
A call option on a stock expires in 4 months with a strike price of 75....
A call option on a stock expires in 4 months with a strike price
of 75. The price of the stock is 80, and the interest rate is 4
percent. Graph the value of this option as the standard deviation
of the underlying stock goes from 10 to 50 percent.
The price of a European put that expires in six months and has a strike price...
The price of a European put that expires in six months and has a
strike price of $100 is $3.59. The underlying stock price is $102,
and a dividend of $1.50 is expected in four months. The term
structure is flat, with all risk-free interest rates being 8%
(cont. comp.).
What is the price of a European call option on the same stock
that expires in six months and has a strike price of $100?
[1 marks]
Explain in detail...
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 a European put option on a stock that expires in two months. The stock...
There is a European put option on a stock that expires in two
months. The stock price is $105 and the standard deviation of the
stock returns is 55 percent. The option has a strike price of $115
and the risk-free interest rate is an annual percentage rate of 6.5
percent.
What is the price of the put option today? Use a two-state model
with one-month steps. (Do not round intermediate
calculations and round your answer to 2 decimal places,...
There is a European put option on a stock that expires in two months. The stock...
There is a European 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 put option today? 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 $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 a European put option on a stock that expires in two months. The stock...
There is a European put option on a stock that expires in two
months. The stock price is $63 and the standard deviation of the
stock returns is 57 percent. The option has a strike price of $73
and the risk-free interest rate is an annual percentage rate of 6.2
percent.
What is the price of the put option today? Use a two-state model
with one-month steps. (Do not round intermediate calculations and
round your answer to 2 decimal places,...
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.)
Consider a European put option on AAPL stock with a strike of 300 that expires on...
Consider a European put option on AAPL stock with a strike of
300 that expires on 9/18/20. As of close on 4/27, the spot price is
283.17 and the option premium is 25.90.
[5] What is the current intrinsic and extrinsic value of this
option?
[10] If spot interest rates for a bond expiring on 9/18/20 is
0.5% annually, what should
be the price of a call option with the same strike and
expiration?
[5] What is the Black-Scholes-implied volatility...
Consider a European put option on AAPL stock with a strike of 300 that expires on...
Consider a European put option on AAPL stock with a strike of
300 that expires on 9/18/20. As of close on 4/27, the spot price is
283.17 and the option premium is 25.90.
a. What is the current intrinsic and extrinsic value of this
option?
b. If spot interest rates for a bond expiring on 9/18/20 is 0.5%
annually, what should be the price of a call option with the same
strike and expiration?
c. What is the Black-Scholes-implied volatility...
ADVERTISEMENT
ADVERTISEMENT
Latest Questions
- Draw a DFA for the following ( ∑ = {0,1}): Set of all strings with.
- In the article from Forbes notes that the goal of a leader is not to clone...
- Many people keep time using a 24 hour clock (11 is 11am and 23 is 11pm,...
- UNIX ONLY -- DIFFICULT LAB ASSIGNMENT This is an extremely difficult subject for me. Could you...
- Do you know why your credit card can be refused even though you are profitable?
- The Following Java expression: S/10 * 10 + 10 – S = C Show that this...
- Year Cash Flow 0 −$9,700 1 5,800 2 2,500 3 3,400 &nb
ADVERTISEMENT