Given the following information, what is the value of the corresponding call and put options? Stock...

Given the following information, what is the value of the corresponding call and put options? Stock price (P) is $35.60, exercise price (EX) is $50, time to expiry is nine months, risk-free rate (rRF) is 3.25%, standard deviation (σ) is 45%, and d1 is -0.78921.

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jeff jeffy answered 1 year ago

given the following information, what is the value of the corresponding call and put options? stock...

given the following information, what is the value of the corresponding call and put options? stock price (P) is $35.60, exercise price (EX) is $50, time to expiry is nine months, royalty-free rate (rRF) is 3.25%, standard deviation is 45%, and d1 is -0.78921

An investor is provided with the following information on American put and call options on a...

An investor is provided with the following information on American put and call options on a share of a company listed on the London Stock Exchange: Call price (c0) = 33p Put price (p0) = 49p Exercise price (X) = 480p Today: 11 June 2019 Expiry date: 20 December 2019 Current stock price (S0) = 458p Risk-free interest rate (r) = 2.4% The company pays no dividends. Draw a graph showing the prices at expiry of a fiduciary call and...

The following prices are available for call and put options on a stock priced at $50....

The following prices are available for call and put options on a stock priced at $50. The risk-free rate is 6 percent and the volatility is 0.35. The March options have 90 days remaining and the June options have 180 days remaining. The Black-Scholes model was used to obtain the prices. Calls Puts Strike March June March June 45 6.84 8.41 1.18 2.09 50 3.82 5.58 3.08 4.13 55 1.89 3.54 6.08 6.93 Suppose you closed the spread 60 days...

You are given the following information on two European call options written on stock XYZ at...

You are given the following information on two European call options written on stock XYZ at a strike of 175. Maturity 11/16/2018 price Maturity 01/17/2020 price XYZ price 4/11/2018 12.50 20.10 178.10 4/12/2018 9.75 17.50 172.55 Assume an annual rate of interest of 2% and an annual dividend rate of 1%. Both rates are continuously compounded. a)Compute the implied volatilities of both options on both dates. (You will compute four implied volatilities in total). b)Create a P&L explanation for these...

2. Given the following information, determine the value of a currency call option and currency put...

2. Given the following information, determine the value of a currency call option and currency put option that expire in the next 6 months. (use the Table attached to the back of this exam) - Spot price the Australian Dollar is $0.45 - The strike price of the option is $0.50 - The volatility of the Australian Dollar is 40% - The expiration is 6 months - The simple interest rate in the U.S. is 3% - The simple interest...

Two call options and two put options on a stock have the same expiration date and...

Two call options and two put options on a stock have the same expiration date and two strike prices of $187.5 (K1) and $262.5 (K2). The market prices of the call options are $90.5 (c1) and $13.88 (c2), and the market prices of the put options are $2.1 (p1) and $77.5 (p2), respectively. (a) Explain how a long strangle can be created. (b) Construct a profit (loss) table for the long strangle strategy at expiration of the options. (c) Draw...

Consider the following information on put and call options for company ABC (Show calculations and brief...

Consider the following information on put and call options for company ABC (Show calculations and brief discuss ) Strike Price Put Price Call Price $32.50 $2.85 $1.65 Calculate the net value of a protective put position at a stock price at expiration of $20, and a stock price at expiration of $45. Calculate the net value of a covered call position at a stock price at expiration of $20, and a stock price at expiration of $45. Calculate the payoffs...

Which of the following statements is false? A Put options increase in value as the stock...

Which of the following statements is false? A Put options increase in value as the stock price falls. B If two call options have different strike prices but are otherwise identical, the call option with the higher strike price has a lower value than the call option with a lower strike price. C A put option cannot be worth more than its strike price. D An American option with an earlier exercise date cannot be worth more than an otherwise...

Discuss how stock options work and the difference between a put and a call. Are there...

Discuss how stock options work and the difference between a put and a call. Are there any additional risks involved when trading options? After doing research you expect profit and stock price to fall in the near future at The Purple Grape wine company because of bad weather during the grape growing season. How would you as an investor try to profit from this with options? Pick two of the four choices below and explain your reasoning. Buy a call...

11.Which of the following is not a characteristic of put and call options? a. They are...

11.Which of the following is not a characteristic of put and call options? a. They are contracts to buy or sell 100 shares of common stock. b. There is always a specified price. c. There is always a specified time period. d. All of the above are characteristics. 12.A major disadvantage of using call options to hedge a short position is a. hedging increases the risk of loss on the short sale b. the option premium and commissions reduce profit...

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