1) In a one-period binomial model, assume that the current stock price is $100, and that it will rise to $130 or fall to $70 after one month. The gross one month risk - free rate is 1.02 %. Using risk neutral pricing, what is the price of a 100- strike one-month call option? Round your calculaton for q and 1 - q to four (4) decimal places. a. $14.90 b. $14.71 c. $15.05 d. $15.69 2) In a one-period binomial model, assume that the current stock price is $100, and that it will rise to $120 or fall to $80 after one month. The gross one month risk - free rate is 1.03%. Using risk neutral pricing, what is the price of a 100-strike one-month put option? Round your calculaton for q and 1 - q to three (3) decimal places a. $8.00 b. $8.25 c. $8.50 d. $8.75
1) In a one-period binomial model, assume that the current stock price is $100, and that it will rise to $130 or fall to $70 after one month. The gross one month risk - free rate is 1.02 %. Using risk neutral pricing, what is the price of a 100- strike one-month call option? Round your calculaton for q and 1 - q to four (4) decimal places. a. $14.90 b. $14.71 c. $15.05 d. $15.69 2) In a one-period binomial model, assume that the current stock price is $100, and that it will rise to $120 or fall to $80 after one month. The gross one month risk - free rate is 1.03%. Using risk neutral pricing, what is the price of a 100-strike one-month put option? Round your calculaton for q and 1 - q to three (3) decimal places a. $8.00 b. $8.25 c. $8.50 d. $8.75
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
Related questions
Question
![1) In a one-period binomial model, assume that the current stock price is $100, and that it will rise to $130 or fall to $70
after one month. The gross one month risk - free rate is 1.02 %. Using risk neutral pricing, what is the price of a 100-
strike one-month call option? Round your calculaton for q and 1 - q to four (4) decimal places. a. $14.90 b. $14.71 c.
$15.05 d. $15.69 2) In a one-period binomial model, assume that the current stock price is $100, and that it will rise to
$120 or fall to $80 after one month. The gross one month risk - free rate is 1.03%. Using risk neutral pricing, what is the
price of a 100-strike one-month put option? Round your calculaton for q and 1 - q to three (3) decimal places a. $8.00
b. $8.25 c. $8.50 d. $8.75](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F75563d86-4cae-4826-be8c-d9e847476407%2Feccd84f8-b404-44fb-a713-1068f0c82cd6%2Fme6jjc_processed.jpeg&w=3840&q=75)
Transcribed Image Text:1) In a one-period binomial model, assume that the current stock price is $100, and that it will rise to $130 or fall to $70
after one month. The gross one month risk - free rate is 1.02 %. Using risk neutral pricing, what is the price of a 100-
strike one-month call option? Round your calculaton for q and 1 - q to four (4) decimal places. a. $14.90 b. $14.71 c.
$15.05 d. $15.69 2) In a one-period binomial model, assume that the current stock price is $100, and that it will rise to
$120 or fall to $80 after one month. The gross one month risk - free rate is 1.03%. Using risk neutral pricing, what is the
price of a 100-strike one-month put option? Round your calculaton for q and 1 - q to three (3) decimal places a. $8.00
b. $8.25 c. $8.50 d. $8.75
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