Question
In: Finance
You are about to calculate the value of a call option on shares. You have the...
You are about to calculate the value of a call option on shares. You have the following information. The share price is 49 SEK, The exercise price is 50 SEK.
The risk free interest rate is 3% and the time to maturity is 3 month.
d1=0.7 and d2=0.5.
a. What is N(d1) and N(d2)? (2p)
b. What is the value of the call option? (6p)
c. With the same information. What is the value of the put option? (4p)
Solutions
Expert Solution
a) N(d1) = 0.2580, N(d2) = 0.1915
b) Value of call option = 3.1388
c) Value of put option = 3.7638
jeff jeffy answered 1 year agoRelated Solutions
You are about to calculate the value of a call option on shares. You have the...
You are about to calculate the value of a call option on shares.
You have the following information. The share price is 49 SEK, The
exercise price is 50 SEK. The risk free interest rate is 3% and the
time to maturity is 3 month. d1=0.7 and d2=0.5.
a. What is N(d1) and N(d2)?
b. What is the value of the call option?
c. With the same information.
d. What is the value of the put option?
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?
i. Calculate The Option value for a two period Binomial European Call option with the following...
i. Calculate The Option value for a two period Binomial European
Call option with the following terms and the time values.
Current Price of underlying asset K100
Strike price of underlying asset K80
One period risk free rate of return 10%
Stock price can either go up or down by 15%
ii. compare the results if the stock price can go up or down by
30%
You are offered a European Call option. This means you will have the option, but not...
You are offered a European Call option. This means you
will have the option, but not the
obligation, to buy the stock at the strike price K of
$100.
The price of the stock today is
$90. Your time discount rate is Beta=0.98, the risk-less rate of
interest is 3%.
The price of the stock follows the following process over
two periods: with probability
75% the price will not change from period 0 to period 1, but with
probability 25%...
Call Option You have taken a long position in a call option on UBR common stock....
Call Option
You have taken a long position in a call option on UBR common
stock. The option has an exercise price of $142 and IBM’s stock
currently trades at $145. The option premium is $6 per
contract.
a. What is your net profit on the option if UBR’s stock price
increases to $150 at expiration of the option and you exercise the
option?
b. How much of the option premium you paid is due to intrinsic
value and how...
Using the Black/Scholes Option Pricing Model, calculate the value of the call option given: S= 74; ...
Using the Black/Scholes Option Pricing Model, calculate
the value of the call option given:
S= 74;
X=70;
T=6 months;
=.50;
Rf =10%
What is the intrinsic value of the call?
What stock price is necessary to break-even?
If volatility were to decrease, the value of the call
would ___________?
If the exercise price would increase, the value of the
call would ___________?
If the time to maturity were 3-months, the value of the call
would ___________?...
Use the B-S OPM to calculate the value of a call option with the following data:...
Use the B-S OPM to
calculate the value of a call option with the following data:
Price of the
underlying stock = $30; strike price = $35; risk-free rate of
return = 5%; variance of the stock returns = .25; and time to
expiry of the call option is 4 months
Please show your
work!
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?
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?
ADVERTISEMENT
ADVERTISEMENT
Latest Questions
- For Questions 1-3: consider the following code: public class A { private int number; protected String...
- You are tasked with assessing the health department’s intervention program in preventing recurrence of acute alcohol...
- Compare the MOSFET, JFET , and BJT and identify the reasons these devices behave differently. What...
- How would you use SAS Enterprise Miner to create a neural network model of your example?
- Explain the use of neural networking modeling in predictive analytics.
- Current Market Mix of Netflix, as detail as possible, please.
- This is all one question, thank you so much in advance! You must evaluate a proposal...
ADVERTISEMENT