Question
In: Finance
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?
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1.75 |
||
|
2.67 |
||
|
3.67 |
||
|
2.008 |
Solutions
jeff jeffy answered 2 years agoRelated Solutions
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?
2.50
2.936
3.50
3.20
A futures price is currently $3000 and its volatility is 25%. The risk-free interest rate is...
A futures price is currently $3000 and its volatility is 25%.
The risk-free interest rate is 5% per annum.
a) Use a two-step binomial tree to derive the value today of a
one-year European put option with a strike price of $2900 written
on the futures contract.
b) Use put-call parity to value the one-year European call
option with a strike price of $2900 written on the futures
contract.
c) How would you hedge today a short position in the...
A futures price is currently $3000 and its volatility is 25%. The risk-free interest rate is...
A futures price is currently $3000 and its volatility is 25%.
The risk-free interest rate is 5% per
annum.
a) Use a two-step binomial tree to derive the value today of a
one-year European put option
with a strike price of $2900 written on the futures
contract.
b) Use put-call parity to value the one-year European call
option with a strike price of $2900
written on the futures contract.
c) How would you hedge today a short position in the...
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.
BCA stock price is currently $70. The risk free interest rate is 5% per annum with...
BCA stock price is currently $70. The risk free interest rate is
5% per annum with continuous compounding. Assume BCA's volatility
is 25%. What is the difference in price of a of a
6-month American put option with a strike price of $75 and an
identical European put option using 5--step binomial
trees to calculate the price index today for both options?
What is the new Black-Scholes price of this European option?
LOOKING FOR ANSWER IN EXCEL FORMAT AND EXPLANATION...
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 is currently priced at $37.00. The risk free rate is 5% per annum with...
A stock is currently priced at $37.00. The risk free rate is 5%
per annum with continuous compounding. In 7 months, its price will
be either $42.18 or $31.82. Using the binomial tree model, compute
the price of a 7 month bear spread made of European puts with
strike prices $41.00 and $45.00.
A stock is currently priced at $35.00. The risk free rate is 3.2% per annum with...
A stock is currently priced at $35.00. The risk free rate is
3.2% per annum with continuous compounding. In 4 months, its price
will be either $39.90 or $31.15.
Consider the portfolio with the following: long a European call
with strike $39.00 expiring in 4 months; a short futures position
on the stock with delivery date in 4 months and delivery price
$40.00; a derivative which pays, in 4 months, three times the price
of the stock at that time....
A stock is currently priced at $77.00. The risk free rate is 3.2% per annum with...
A stock is currently priced at $77.00. The risk free rate is
3.2% per annum with continuous compounding.
Use a one-time step Cox-Ross-Rubenstein model for the price of
the stock in 15 months assuming the stock has annual volatility of
19.4%. Compute the price of a 15 month call option on the stock
with strike $81.00.
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