12. Delta What are the deltas of a call option and a put option with the following characteristics? What does the delta of the option tell you? Stock price = $47 Exercise price = $40 Risk-free rate 6% per year, compounded continuously 9 months Maturity Standard deviation = 43% per year =

12. Delta What are the deltas of a call option and a put option with the following characteristics? What does the delta of the option tell you? Stock price = $47 Exercise price = $40 Risk-free rate 6% per year, compounded continuously 9 months Maturity Standard deviation = 43% per year =

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

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12. Delta What are the deltas of a call option and a put option with the following characteristics?
What does the delta of the option tell you?
Stock price $47
Exercise price = $40
Risk-free rate = 6% per year, compounded continuously
Maturity = 9 months
Standard deviation = 43% per year
=

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15. Find the implied volatility (to 2 decimals, for example, σ = 8.23%) of a Put option with a time to expiration of 11 months and a price of $6.13 2 The stock is currently trading at $47. The riskless rate is 2% per annum, and the strike/exercise price of the option is $50. 3 Hint: compute the Put price using the same formula as in exercise 4, as a function of the volatility σ. Then use Solver to change the volatility cell in order to obtain a price of $6.13 4 5 6 d1 = -0.0614997 7 d2 = 8 9 10 N(d1)= 11 N(d2)= 12 13 N(-d1)= 14 N(-d2)= 15 16 17 18 P = 27.41 19 So= 47 K= 50 r = 2% σ = 2.74% T= 0.91666667
4
Black-Scholes Model Use the Black-Scholes model to find the price for a call option with the following inputs: (1) current stock price is $28, (2) strike price is $34, (3) time to expiration is 6 months, (4) annualized risk-free rate is 6%, and (5) variance of stock return is 0.09. Do not round intermediate calculations. Round your answer to the nearest cent. $
23.10 What are the prices of a call option and a put option with the following characteristics? Stock price = $46  Exercise price = $50  Risk-free rate = 6% per year, compounded continuously Maturity = 3 months Standard deviation = 54% per year
ff2
Suppose the expected return on the market is 10 percent and the risk-free rate is 5 percent. Solomon Inc. stock has a beta of 1.4. What is the expected return on the Solomon stock? Question 9 options: A) 12.8% B) 19.3% C) 12.0% D) 7.8%
2. What are the prices of a call option and a put option with the following characteristics? Stock price = $74Exercise price = $72Risk-free rate = 2.7% per year, compounded continuouslyMaturity = 4 monthsStandard deviation = 52% per year 3. Draw the payoff picture at expiration for a long position in a call option that has a premium of $1.25 and a strike price of $30. 4. Draw the payoff picture for a short position in the call option given in Problem 2.5. Draw the payoff picture at expiration for a long position in a put option that has a premium of $3.50 and a strike price of $80. 6. Draw the payoff picture for a short position in the put option given in Problem 4.please let me have it by mornin. Thank you.
What is the value of a put option if the underlying stock price is $47, the strike price is $40, the underlying stock volatility is 52 percent, and the risk-free rate is 5.5 percent? Assume the option has 150 days to expiration. (Use 365 days in a year. Do not round intermediate calculations. Round your answer to 2 decimal places.) X Answer is complete but not entirely correct. Value of a put option $ 7.00
Consider a put option whose underlying asset is a stock index with 6 months to expiration and a strike price of $1000. Suppose the risk-free interest rate for the six months is 2% and that the option’s premium is $74.20. (a) Find the future premium value in six months. (b) What is the buyer’s profit is the index spot price is $1100? (c) What is the buyer’s profit is the index spot price is $900 Only typed answer
What is the put option premium given the following information? What would happen to the Put option premium if the risk-free rate significantly declined from its current level? Stock price $28.00 Strike price $35.00 Volatility 50% Dividend Yield 0.00 Time 0.50 Riskfree Rate 3.50%
man.10
Find the implied volatility (to 2 decimals, for example, �=8.23% ) of a Put option with a time to expiration of 11 months and a price of $6.13 The stock is currently trading at $47. The riskless rate is 2% per annum, and the strike/exercise price of the option is $50. Hint: compute the Put price using the same formula as in exercise 4 , as a function of the volatility �. Then use Solver to change the volatility cell in order to obtain a price of $6.13 \table[[�1=,-0.0614997,,So =,47],[�2=,,4,�=,50],[,,,�=,2%

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