Question
In: Finance
Use the following data to compute the option price for 3M: Stock price =100; Exercise price=90;...
Use the following data to compute the option price for 3M: Stock price =100; Exercise price=90; Interest rate=5%; Time to expiration= 3 months; Standard deviation = 20% per year; assume zero dividends. B) If the call option above is selling for $14.00 is its implied volatility more than or less than 20%?
Solutions
jeff jeffy answered 1 year agoRelated Solutions
Consider an option on a dividend-paying stock when the stock price is $30, the exercise price...
Consider an option on a dividend-paying stock when the stock
price is $30, the exercise price is $29, the risk-free interest
rate is 5% per annum, the volatility is 25% per annum, and the time
to maturity is four months. The present value of the dividend to be
paid in 3 months is $1. (20 points) a. What is the price of the
option if it is a European call? b. What is the price of the option
if it...
Consider an option on a dividend-paying stock when the stock price is $30, the exercise price...
Consider an option on a dividend-paying stock when the stock
price is $30, the exercise price is $29, the risk-free interest
rate is 5% per annum, the volatility is 25% per annum, and the time
to maturity is four months. The present value of the dividend to be
paid in 3 months is $1. (20 points) a. What is the price of the
option if it is a European call? b. What is the price of the option
if it...
. A stock sells for $110. A call option on the stock has an exercise price...
. A stock sells for $110. A call option on the stock has an
exercise price of $105 and expires in 43 days. If the interest rate
is 0.11 and the standard deviation of the stock’s return is 0.25.
a) Calculate the call using the Black-Scholes model b) What would
be the price of a put with an exercise price of $140 and the same
time until expiration? c) How does an increase in the volatility
and interest rate changes...
An exotic option, with exercise price of £8.50, was written on a stock whose price at...
An exotic option, with exercise price of £8.50, was written on a
stock whose price at opening of the contract was £9. When the
option expired the stock price was £7. The stock price fell below
the value of £6.50 during the option’s life and the option paid off
£1.50 at maturity. Which of the following best describes the
option?
Down-and-in-put
Up-and-input
Down-and-outcall
Gapput
Consider: (a) Stock trades for $100; (b) Calls with exercise prices of $90, $100, and $110...
Consider:
(a) Stock trades for $100;
(b) Calls with exercise prices of $90, $100, and $110 trade at
prices of $17.03, $10.38, and $6.50 respectively.
If a person buys a $90 call, writes two $100 calls, and buys a
$110 call, what is the magnitude of her maximum loss? The answer is
2.77, how do you solve?
Type or paste question here
Consider: (a) Stock trades for $100; (b) Calls with exercise prices of $90, $100, and $110...
Consider:
(a) Stock trades for $100;
(b) Calls with exercise prices of $90, $100, and $110 trade at
prices of $17.11, $10.69, and $6.10 respectively.
If a person buys a $90 call, writes two $100 calls, and buys a
$110 call, what is her higher break-even point? The answer is
108.17, how do you solve this?
Consider: (a) Stock trades for $100; (b) Calls with exercise prices of $90, $100, and $110...
Consider:
(a) Stock trades for $100;
(b) Calls with exercise prices of $90, $100, and $110 trade at
prices of $17.78, $11.06, and $6.74 respectively.
If a person buys a $90 call and writes a $110 call, what is her
profit if the stock price is 92.63 at maturity? The answer is 8.41,
how do you solve this?
Consider an option on a non-dividend-paying stock when the stock price is $30, the exercise price...
Consider an option on a non-dividend-paying stock when the stock
price is $30, the exercise price is $29, the risk-free interest
rate is 5% per annum, the volatility is 25% per annum, and the time
to maturity is four months.
1. What is the price of the option if
it is a European call?
2. What is the price of the option if
it is an American call?
Consider an option on a non-dividend-paying stock when the stock price is $30, the exercise price...
Consider an option on a non-dividend-paying stock when the stock
price is $30, the exercise price is $29, the risk-free interest
rate is 5% per annum, the volatility is 25% per annum, and the time
to maturity is four months.
What is the price of the option if it is a European call?
What is the price of the option if it is an American call?
What is the price of the option if it is a European put?
Verify...
Consider an option on a non-dividend-paying stock when the stock price is $48, the exercise price...
Consider an option on a non-dividend-paying stock when the stock
price is $48, the exercise price is $46, the risk-free interest
rate is 6% per annum, the volatility is 20% per annum, and time to
maturity is four months. (a) What is the price of the option if it
is a European call? (b) What is the price of the option if it is a
European put? (c) What is the price of the option if it is an
American...
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