Question
In: Finance
Consider a European put option on AAPL stock with a strike of 300 that expires on...
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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.
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[5] What is the current intrinsic and extrinsic value of this option?
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[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?
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[5] What is the Black-Scholes-implied volatility of this option?
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[Extra Credit, 5] What is the Black-Scholes delta, gamma, and theta of this option?
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Solutions
jeff jeffy answered 1 year agoRelated Solutions
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...
Consider a European call option and a put option on a stock each with a strike...
Consider a European call option and a put option on a stock each
with a strike price of K = $22 and each expires in six months. The
price of call is C = $3 and the price of put is P = $4. The risk
free interest rate is 10% per annum and current stock price is S0 =
$20. Show how to create an arbitrage strategy and calculate the
arbitrage traders profit.
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 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,...
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.
A European call option and put option on a stock both have a strike price of...
A European call option and put option on a stock both have a
strike price of $21 and an expiration date in 4 months. The call
sells for $2 and the put sells for $1.5. The risk-free rate is 10%
per annum for all maturities, and the current stock price is $20.
The next dividend is expected in 6 months with the value of $1 per
share.
(a) describe the meaning of “put-call parity”. [2
marks]
(b) Check whether the...
A European call option and put option on a stock both have a strike price of...
A European call option and put option on a stock both have a
strike price of $21 and an expiration date in 4 months. The call
sells for $2 and the put sells for $1.5. The risk-free rate is 10%
per annum for all maturities, and the current stock price is $20.
The next dividend is expected in 6 months with the value of $1 per
share.
(a) In your own words, describe the
meaning of “put-call parity”.
(b) Check...
A European call option and put option on a stock both have a strike price of...
A European call option and put option on a stock both have a
strike price of $25 and an expiration date in four months. Both
sell for $4. The risk-free interest rate is 6% per annum, the
current stock price is $23, and a $1 dividend is expected in one
month. Identify the arbitrage opportunity open to a
trader.
Consider a stock that does not pay dividend. A one-year European put option with strike $40...
Consider a stock that does not pay dividend. A one-year European
put option with strike $40 is trading at $2.40 and a one-year
European put option with strike $50 is trading at $12.30. The
risk-free interest rate is 5% per annum with continuous
compounding. Construct an arbitrage strategy.
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