Question
In: Finance
The price of a European call option on anon-dividend-paying stock with a strike price of...
The price of a European call option on a non-dividend-paying stock with a strike price of 50 $ is 6 $. The stock price is 51 $, the continuously compounded risk-free rate for all maturities is 6% and the time to maturity is one year. What is the price of a one-year European put option on the stock with a strike price of 50 $?
Solutions
Expert Solution
| Current value (S) | $51 |
| Riskless interest rate r | 6.00% |
| Strike price K | $50 |
| Expiration (T) = | 1 |
| Call option (C)] | 6 |
| Put-call parity = c+Ke-rT=p+S0 | |
| Put-call parity = 6+ $50 e-6% x1 =p+51 | |
| p=6+50e-0.06×1−51 | 2.09 |
jeff jeffy answered 2 years agoRelated Solutions
The price of a European call option on a non-dividend-paying stock with a strike price of...
The price of a European call option on a non-dividend-paying
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The continuously compounded risk-free rate is 3% and the time to
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What is the price of a European call option on a non-dividend-paying stock when the stock...
What is the price of a European call option on a
non-dividend-paying stock when the stock price is $52, the strike
price is $50, the risk-free interest rate is 12% per annum, the
volatility is 30% per annum, and the time to maturity is three
months? (Hint: Remember BlackSholes-Merton Model. Please refer to
the N(d) tables provided to you to pick the N values you need)
What is the price of a European call option on a non-dividend-paying stock when the stock...
What is the price of a European call option on a
non-dividend-paying stock when the stock price is $52, the strike
price is $50, the risk-free interest rate is 12% per annum, the
volatility is 30% per annum, and the time to maturity is three
months? (Hint: Remember Black- Sholes-Merton Model. Please refer to
the N(d) tables provided to you to pick the N values you
need)
What is the price of a European call option on a non-dividend-paying stock when the stock...
What is the price of a European call option on a
non-dividend-paying stock when the stock price is $60, the strike
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Round d1 and d2 to two decimal points.
Show all work. Do not use an online option price calculator.
What is the price of a European call option on a non- dividend-paying stock when the...
What is the price of a European call option on a non-
dividend-paying stock when the stock price is $51, the strike price
is $50, the risk-free interest rate is 10% per annum, the
volatility is 30% per annum, and the time to maturity is three
months?
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