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In: Finance
The price of a non-dividend-paying stock is $66. A two-month American put option on the stock...
The price of a non-dividend-paying stock is $66. A two-month American put option on the stock with a strike price of $70 is selling for $10. What is the time value (TV) of this put option?
Solutions
jeff jeffy answered 2 years agoRelated Solutions
A two-month European put option on a non-dividend-paying stock has a strike price of $65. The...
A two-month European put option on a non-dividend-paying stock
has a strike price of $65. The risk-free interest rate is 5% per
annum and the stock price is $58.
a) What is the lower bound for this put option?
b) If the market price of this put option is $3, is there an
arbitrage opportunity?
c) If so, define the arbitrage strategy.
A two-month European put option on a non-dividend-paying stock has a strike price of $65. The...
A two-month European put option on a non-dividend-paying stock
has a strike price of $65. The risk-free interest rate is 5% per
annum and the stock price is $58. a) What is the lower bound for
this put option? b) If the market price of this put option is $3,
is there an arbitrage opportunity? c) If so, define the arbitrage
strategy.
The price of a non-dividend-paying stock is $45. The strike price of a six-month American put...
The price of a non-dividend-paying stock is $45. The strike
price of a six-month American put option is $50. The risk-free rate
is 3% (continuously compounded). Which of the following is a lower
bound for the option such that there are arbitrage opportunities if
the price is below the lower bound and no arbitrage opportunities
if it is above the lower bound?
The price of a non-dividend-paying stock is $74. A three-month American call option on the stock...
The price of a non-dividend-paying stock is $74. A three-month
American call option on the stock with a strike price of $70 is
selling for $9. What is the intrinsic value (IV) of this call
option?
Calculate the price of a four-month European put option on a non-dividend-paying stock with a strike...
Calculate the price of a four-month European put option on a
non-dividend-paying stock with a strike price of $60 when the
current stock price is $55, the continuously compounded risk-free
interest rate is 10% per annum, and the volatility is 31% per
annum.
Calculate the price of the put option if a dividend of $2.50
expected in the next three months.
Please show all work. Thank you!
Calculate the price of a three-month European put option on a non-dividend-paying stock with a strike...
Calculate the price of a three-month European put option on
a non-dividend-paying stock with a strike price of $50 when the
current stock price is $50, the risk-free interest rate is 10% per
annum, and the volatility is 30% per annum.
A two-month European put option on a non-dividend-paying stock is currently selling for $2.00. The stock...
A two-month European put option on a non-dividend-paying
stock is currently selling for $2.00. The stock price is $52, the
strike price is $55, and the risk-free interest rate is 5% per
annum. What opportunities are there for an arbitrageur?
A two-month European put option on a non-dividend-paying stock is currently selling for $2.00. The stock...
A two-month European put option on a non-dividend-paying
stock is currently selling for $2.00. The stock price is $52, the
strike price is $55, and the risk-free interest rate is 5% per
annum. What opportunities are there for an arbitrageur?
What is the price of a European put option on a non-dividend-paying stock when the stock...
What is the price of a European put option on a
non-dividend-paying stock when the stock price is $100, the strike
price is $90, the risk- free interest rate is $5% per annum, the
volatility is 35% per annum (continuously compounded), and the time
to maturity is 6 months? Use the Black-Scholes-Merton option
pricing formula.
One second later, the stock is traded at 101. How would you
estimate the new price for the option without the
Black-Scholes-Merton option pricing formula?
What is the price of a European put option on a non-dividend-paying stock when the stock...
What is the price of a European put option on a
non-dividend-paying stock when the stock price is $69, the strike
price is $70, the risk-free interest rate is 5% per annum, the
volatility is 35% per annum, and the time to maturity is six
months?
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