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.

Solutions

Expert Solution

jeff jeffy answered 9 months ago

Next > < Previous

Related Solutions

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!

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...

The price of a European call option on a non-dividend-paying stock with a strike price of...

The price of a European call option on a non-dividend-paying stock with a strike price of $50 is $6 and the stock price is $52. The continuously compounded risk-free rate is 3% and the time to maturity is six months. What is the price of a six-month European put option on the stock with a strike price of $50?

A three-month European put option on a non-dividend-paying stock is currently selling for $3. The stock...

A three-month European put option on a non-dividend-paying stock is currently selling for $3. The stock price is $20, the strike price is $25, and the risk-free interest rate is 5% per annum. Is there an arbitrage opportunity? Show the arbitrage transactions now and in three months.

A put option on a non-dividend-paying stock is priced at $5.50. The strike price of the...

A put option on a non-dividend-paying stock is priced at $5.50. The strike price of the put option is $55. When current stock price is $60, this put option has an intrinsic value of ( ) and a time value of ( ) a. $5.50, $0 b. $5.00, $5.50 c. $5.50 , $5.00 d. $0, $5.50

What is the price of a European put option on a non- dividend-paying stock when the...

What is the price of a European put option on a non- dividend-paying stock when the stock price is $68, the strike price is $70, the risk-free interest rate is 6% per annum, the volatility is 35% per annum, and the time to maturity is six months?

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?

1.The price of a three-month European put option on a stock with a strike price of...

1.The price of a three-month European put option on a stock with a strike price of $60 is $5. There is a $1.0067 dividend expected in one month. The current stock price is $58 and the continuously compounded risk-free rate (all maturities) is 8%. What is the price of a three-month European call option on the same stock with a strike price of $60? Select one: a. $5.19 b. $1.81 c. $2.79 d. $3.19 2.For the above question, if the...

Subjects