Question

In: Finance

IBM stock currently sells for 100 dollars per share. The implied volatility equals 20.0. The risk-free...

IBM stock currently sells for 100 dollars per share. The implied volatility equals 20.0. The risk-free rate of interest is 4.0 percent continuously compounded. What is the value of a call option with strike price 95 and maturity 6 months? Answer should be to the nearest cent (2 decimal places).

Solutions

Expert Solution

Value of call is 9.56


Related Solutions

IBM stock currently sells for 100 dollars per share. The implied volatility equals 20.0. The risk-free...
IBM stock currently sells for 100 dollars per share. The implied volatility equals 20.0. The risk-free rate of interest is 4.0 percent continuously compounded. If you owned a 200 shares of IBM stock, how many call options with a strike price of 95 and a maturity of 6 months would you have to buy (sell) to create a delta-neutral hedge? Assume each option controls one share of IBM stock. Answer should be rounded to 2 decimal places.
IBM stock currently sells for 100 dollars per share. The implied volatility equals 20.0. The risk-free...
IBM stock currently sells for 100 dollars per share. The implied volatility equals 20.0. The risk-free rate of interest is 4.0 percent continuously compounded. If you owned a 200 shares of IBM stock, how many call options with a strike price of 95 and a maturity of 6 months would you have to buy (sell) to create a delta-neutral hedge? Assume each option controls one share of IBM stock. Answer should be rounded to 2 decimal places.
IBM stock currently sells for 64 dollars per share. The implied volatility equals 40.0. The risk-free...
IBM stock currently sells for 64 dollars per share. The implied volatility equals 40.0. The risk-free rate of interest is 5.5 percent continuously compounded. What is the delta of a call option with strike price 69 and maturity 9 months?
Calculate the Implied Volatility of the following options on Stock XYX. Stock Price=$50; Risk Free Rate...
Calculate the Implied Volatility of the following options on Stock XYX. Stock Price=$50; Risk Free Rate =10%; Dividends =$0; Expiration Date=1 Year; Strike Price =$50; Option Price= $7
A stock index is currently 1,000. Its volatility is 20%. The risk-free rate is 5% per...
A stock index is currently 1,000. Its volatility is 20%. The risk-free rate is 5% per annum (continuously compounded) for all maturities and the dividend yield on the index is 3%. Calculate values for u, d, and p when a six-month time step is used. What is the value a 12-month American put option with a strike price of 980 given by a two-step binomial tree.
A stock index is currently 1,500. Its volatility is 18%. The risk-free rate is 4% per...
A stock index is currently 1,500. Its volatility is 18%. The risk-free rate is 4% per annum for all maturities and the dividend yield on the index is 2.5% (both continuously compounded). Calculate values for u, d, and p when a 6-month time step is used. What is value of a 12-month European put option with a strike price of 1,480 given by a two-step binomial tree?
A stock price is currently AUD 70; the risk-free rate is 5% and the volatility is...
A stock price is currently AUD 70; the risk-free rate is 5% and the volatility is 30%. What is the value of a two-year American put option with a strike price of AUD 72
A stock index currently stands at 300 and has a volatility of 20%. The risk-free interest...
A stock index currently stands at 300 and has a volatility of 20%. The risk-free interest rate is 8% and the dividend yield on the index is 3%. Use a three-step binomial tree to evaluate a six-month put option on the index with a strike price of 300 if it is (a) European and (b) American?
An index currently stands at 736 and has a volatility of 27% per annum. The risk-free...
An index currently stands at 736 and has a volatility of 27% per annum. The risk-free rate of interest is 5.25% per annum and the index provides a dividend yield of 3.65% per annum. Calculate the value of a five-month European put with an exercise price of 730.
A futures price is currently $25, its volatility (SD) is 30% per annum, and the risk-free...
A futures price is currently $25, its volatility (SD) is 30% per annum, and the risk-free interest rate is 10% per annum. What is the value of a nine-month European call on the futures with a strike price of $26 according to the BSM option pricing model? 1.75 2.67 3.67 2.008
ADVERTISEMENT
ADVERTISEMENT
ADVERTISEMENT