Question
In: Finance
A stock price is currently $50. Over each of the next two three-month periods it is...
A stock price is currently $50. Over each of the next two three-month periods it is expected to go up by 5% or down by 6%. The risk-free interest rate is 10% per annum with continuous compounding. What is the value of a six-month European call option with a strike price of $49?
Solutions
jeff jeffy answered 1 year agoRelated Solutions
A stock price is currently $50. Over each of the next two three-month periods, it is...
A stock price is
currently $50. Over each of the next two three-month periods, it is
expected to increase by 10% or fall by 10%. Consider a six month
American put option with a strike price of $49.5. The risk
free rate is 6%. Work out the the two step binomial option pricing
fully and fill in the asked questions. (Work out
using 4 decimals and then enter your answers rounding to two
decimals without $ sign)
a)
S0uu= Blank...
A stock price is currently $50. Over each of the next two three-month periods it is...
A stock price is currently $50. Over each of the next two
three-month periods it is expected to go up by 7% or down by 6%.
The risk-free interest rate is 9% per annum with continuous
compounding. What is the value of a six-month European call option
with a strike price of $49? Equations you may find helpful: p =
(e^(rΔt)-d) / (u-d) f = e^(-rΔt) * (fu*p + fd*(1-p)) (required
precision 0.01 +/- 0.01)
A stock price is currently $50. Over each of the next two three-month periods it is...
A stock price is currently $50. Over each of the next two
three-month periods it is expected to go up by 6% or down by 6%.
The risk-free interest rate is 6% per annum with continuous
compounding. What is the value of a six-month American
put option with a strike price of
$53?
A stock price is currently $50. Over each of the next two 3-month periods it is...
A stock price is currently $50. Over each of the next two
3-month periods it is expected to go up by 6% or down by 5%. The
risk-free interest rate is 5% per annum with continuous
compounding.
(a) What is the value of a 6-month European put option with a
strike price of $51? (b) What is the value of a 6-month American
put option with a strike price of $51?
A stock price is currently $50. Over each of the next two 3-month periods it is...
A stock price is currently $50. Over each of the next two
3-month periods it is expected to go up by 6% or down by 5%. The
risk-free rate is 5% per annum with continuous compounding. What is
the value of a six-month European call option with a strike price
of $51?
A stock price is currently $50. Over each of the next two 3-month periods it is...
A stock price is currently $50. Over each of the next two
3-month periods it is expected to go up by 6% or down by 5%. The
risk-free rate is 5% per annum with continuous compounding. What is
the value of a six-month European call option with a strike price
of $51? 4
Calculate the price of the put option in problem 3 if it was
American.
A stock price is currently $100. Over each of the next two three-month periods it is...
A stock price is currently $100. Over each of the next two
three-month periods it is expected to go up by 8% or down by 7%.
The risk-free interest rate is 5% per annum with continuous
compounding. What is the value of a six-month European call option
with a strike price of $95?
A stock price is currently $40. Over each of the next two three-month periods it is...
A stock price is currently $40. Over each of the next two
three-month periods it is expected to go up by 10% or down by 10%
(meaning, precisely, if the stock price at the start of a period is
$40, it will go to $40*1.1=$44 or to $40*0.9=$36 at the end of the
period and if the stock price at the start of a period is $44, it
will go to $44*1.1=$48.44 or to $44*0.9=$39.6 at the end of the...
A stock price is currently $60. Over each of the next two three-month periods it is...
A stock price is currently $60. Over each of the next two
three-month periods it is expected to up by 6% or down by 5%. The
risk-free interest rate is 5% per annum with continuous
compounding. What is the value of a six-month European call option
with a strike price of $61
A stock price is currently $60. Over each of the next two three-month periods it is...
A stock price is currently $60. Over each of the next two
three-month periods it is expected to go up by 6% or down by 5%.
The risk-free interest rate is 8% per annum with continuous
compounding. What is the value of a six-month European call option
with a strike price of $61?
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