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You are to calculate a put option (European) that has 3 months left to expiration. The...
You are to calculate a put option (European) that has 3 months left to expiration. The underlying stock does NOT pay dividends and both the stock price and exercise price happen to be equal at $50. If the risk free rate is currently 10% per annum, and the volatility is assessed at 30% per annum, what is the change if a dividend of $1.50 is expected to be paid in two months?
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You are to calculate a put option (European) that has 3 months left to expiration. The underlying stock does NOT pay dividends and both the stock price and exercise price happen to be equal at $50. If the risk free rate is currently 10% per annum
ekkarill92 answered 2 years agoRelated Solutions
-European call and put options with 3 months of expiration exist with strike price $30 on...
-European call and put options with 3 months of expiration exist
with strike price $30 on the same underlying stock. The call is
priced at $3.5, the put is priced at $1.25, while the underlying is
currently selling for $28.5.
a) What is the net profit for the buyer of the call if the stock
price at expiration is $36?
b) What is the net profit for the seller of the call if the
stock price at expiration is $38?...
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,...
Consider a 1000-strike put option on the S&R index with 6 months to expiration. At the...
Consider a 1000-strike put option on the S&R index with 6
months to expiration. At the time the option is written, the put
writer receives the premium of $74.20. Suppose the index in 6
months is $1100. The put buyer will not exercise the put. Thus, the
put writer keeps the premium, plus 6 months’ interest, for a payoff
of 0 and profit of
$75.68.
If the index is $900 in 6 months, the put owner will exercise,
selling the...
Calculate the option price using the following information: Option type European call Time to expiration 4...
Calculate the option price using the following information:
Option type
European call
Time to expiration
4 months
Strike price
$30
Current underlying stock price
$32
Underlying stock expected dividend
$2.00 in 2 months
Underlying stock volatility
40%
Risk-free rate
6%
Pricing model
Black-Scholes formula
Group of answer choices
$3.05
$3.65
$4.32
$5.02
A European call option has 3 months to expiry and a strike price of $32. The...
A European call option has 3 months to expiry
and a strike price of $32. The underlying stock has a current price
of $28 and volatility (σ) of 0.35 per annum. The riskfree rate of
interest is 5% per annum.
The Black-Scholes price of this call option is $Answer.
The intrinsic value of this option is $Answer.
Enter an answer to 2 decimal places. Do not enter the dollar
sign ($).
Draw the payoff picture at expiration for a long position in a put option that has...
Draw the payoff picture at expiration for a long position in a
put option that has a premium of $3.50 and a strike price of
$60.
A call option with an exercise price of $25 and four months to expiration has a...
A call option with an exercise price of $25 and four months to
expiration has a price of $2.75. The stock is currently priced at
$23.80, and the risk-free rate is 2.5 percent per year, compounded
continuously.
What is the price of a put option with the same exercise
price?
The owner of a European put option on a share has the right, but not the...
The owner of a European put option on a share has the right,
but not the obligation, to sell one share for a fixed price known
as the option’s strike price, on a fixed date known as the option’s
expiry date. If the share price equals S on the option’s
expiry date then the option’s payoff function is the larger of 0
and K − S, where K is the option’s
strike price. This question illustrates what we can learn...
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