Question
In: Finance
What are the decision rules (formulas) to calculate the value of call and put option hedges?
What are the decision rules (formulas) to calculate the value of call and put option hedges?
Solutions
jeff jeffy answered 1 year agoRelated Solutions
A call option with a current value of $7.90. A put option with a current value...
A call option with a current value of $7.90. A put option with a
current value of $7.60. Both options written on the same stock,
with 1 year until expiration, and a strike price of $54.00. The
prevailing risk-free rate is 5.00%. What must be the current price
of the stock on which these two options are written? *** In your
calculations, use simple discounting instead of continuous
discounting. Also, do not enter the dollar sign and use two
decimals...
A call option with a current value of $6.20. A put option with a current value...
A call option with a current value of $6.20. A put option with a
current value of $7.90. Both options written on the same stock,
with 1 year until expiration, and a strike price of $60.00. The
prevailing risk-free rate is 8.00%. What must be the current price
of the stock on which these two options are written?
Calculate the call option value at the end of one period for a European call option...
Calculate the call
option value at the end of one period for a European call option
with the following terms:
The current price of the
underlying asset = $80.
The strike price = $75
The one period, risk-free rate
= 10%
The price of the asset can go
up or down 10% at the end of one period.
What is the fundamental or intrinsic value?
What is the time premium?
What are the deltas of a call option and a put option with the following characteristics?...
What are the deltas of
a call option and a put option with the following characteristics?
(Negative amount should be indicated by a minus sign. Do
not round intermediate calculations and round your answers to 4
decimal places, e.g., 32.1616.)
Stock
price
=
$56
Exercise
price
=
$55
Risk-free
rate
=
4.10% per year,
compounded continuously
Maturity
=
9 months
Standard
deviation
=
45% per
year
Call
option delta
Put
option delta
What are the prices of a call option and a put option with the following characteristics?...
What are the prices of
a call option and a put option with the following characteristics?
(Do not round intermediate calculations and round your
answers to 2 decimal places, e.g., 32.16.)
Stock price
=
$80
Exercise
price
=
$75
Risk-free
rate
=
4.70% per year,
compounded continuously
Maturity
=
4 months
Standard
deviation
=
65% per
year
Call price
$
Put price
$
What are the prices of a call option and a put option with the following characteristics?...
What are the prices of a call option and a put option with the
following characteristics? (Do not round intermediate
calculations and round your answers to 2 decimal places, e.g.,
32.16.)
Stock price
=
$91
Exercise price
=
$90
Risk-free rate
=
4.1% per year, compounded continuously
Maturity
=
4 months
Standard deviation
=
52% per year
Call price
$
Put price
$
What are the prices of a call option and a put option with the following characteristics?(Do...
What are the prices of a call option and a put option with the
following characteristics?(Do not round intermediate
calculations and round your final answers to 2 decimal places
(e.g., 32.16).)
Stock price
=
$85
Exercise price
=
$80
Risk-free rate
=
3.8% per year, compounded continuously
Maturity
=
5 months
Standard deviation
=
55% per year
Call price
$
Put price
$
Indicate the difference between a call option and a put option?
Indicate the difference between a call option and a put
option?
A. What is Price of a European Put option? B. Price of a European Call option?...
A. What is Price of a European Put option?
B. Price of a European Call option?
Spot price = $60
Strike Price = $44
Time to expiration = 6 months
Risk Free rate = 3%
Variance = 22% (use for volatility)
Show steps/formula
What would happen to the premium for an at-the-money call option, an at-the-money put option, and...
What would happen to the premium for an at-the-money call
option, an at-the-money put option, and an in-the-money call option
on a stock if:
a. the stock's price jumps 15%?
b. a month passes with very little change to the stock's
price
c. the firm issues an earnings report with no impact on the spot
price
d. there is high volatility for the stock
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