2) Below are call and put option prices for Exxon, expiring on November 17, 2017. The prices are from September 8, 2017. The price of the stock on September was $78.81. Given all this, what annual intere rate is implies by these prices? Some hints: Use put-call parity, and the exponential formula for the price of money. There will be several implied interest rates, one for each strike price. You have to take a natural logarithm to calculate the answers. The natural log of exp(A)=A. Calculate interest rates to five digits Strike Price 75 Call Price 161 Put Price 094

2) Below are call and put option prices for Exxon, expiring on November 17, 2017. The prices are from September 8, 2017. The price of the stock on September was $78.81. Given all this, what annual intere rate is implies by these prices? Some hints: Use put-call parity, and the exponential formula for the price of money. There will be several implied interest rates, one for each strike price. You have to take a natural logarithm to calculate the answers. The natural log of exp(A)=A. Calculate interest rates to five digits Strike Price 75 Call Price 161 Put Price 094

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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A call option currently sells for $9.25. It has a strike price of $45 and six months to maturity. A put with the same strike and expiration date sells for $7.50. If the risk-free interest rate is 6.3 percent, what is the current stock price? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Current stock price
A call option currently sells for $7.00. It has a strike price of $40 and five months to maturity. A put with the same strike and expiration date sells for $5.00. If the risk-free interest rate is 5 percent, what is the current stock price? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Current stock price
4b) A trader is asked to value a 1-year European call option for Facebook Ltd. common stock, which last traded at 43 USD. He has collected the following information: call and put option exercise price 45 USD, 1-year put option price 4 USD, 1-year Treasury bill rate 5.50% continuously compounded. Calculate the European call option value using put-call parity.
Suppose the 6-month Mini S&P 500 futures price is 1,345.99, while the cash price is 1,335.81. What is the implied difference between the risk-free interest rate and the dividend yield on the S&P 500? (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places.) Implied difference %
a. Use the Black-Scholes formula to find the value of the following call option. (Do not round intermediate calculations. Round your final answer to 2 decimal places.) i. Time to expiration 1 year. ii. Standard deviation 40% per year. iii. Exercise price $84. iv. Stock price $84. v. Interest rate 4% (effective annual yield). b. Now recalculate the value of this call option, but use the following parameter values. Each change should be considered independently. (Do not round intermediate calculations. Round your final answers to 2 decimal places.) i. Time to expiration 2 years. ii. Standard deviation 50% per year. iii. Exercise price $94. iv. Stock price $94. v. Interest rate 6%. c. In which case did increasing the value of the input not increase your calculation of option value? a. Call option value b-i. Call option value when time to expiration is 2 years. b-ii. Call option value when standard deviation is 50% per year. b-iii. Call option value when exercise price is $60. b-iv. b-v. C…
Consider the call-put pair with strike price 407 and February maturity. Use the put-call parity formula to compute the price of a zero-coupon bond expiring in February. Use the data in Table 2. Please show your calculations. Discuss your result. You also observe the following market for European Call and Put options on the S&P 500 ETF: Today: 10th January 2023 Spot index level: 407 see image attached
The below table shows the list of prices for puts expiring in 30 days (T = 1/12). Using the put option with a strike price of $236, estimate the level of the VIX index. K p 230 2.14 231 2.37 232 2.62 233 2.91 234 3.23 235 3.60 236 4.01 237 4.47 238 4.95 Other parameters you'll need: s0 = $234.35r = 0.74%T = 1/12 years (required precision 0.01 +/- 0.01)
The speculator buys one put option at a strike price of $70/barrel and expiry date October 2021 for a premium of $1.20/barrel. Consider the following expected payoff chart for buying a put option. What are the names of point A and B? What is the exact value of A? What is the exact value B?
Suppose the 6-month Mini S&P 500 futures price is 1,168.44, while the cash price is 1,150.55. What is the implied dividend yield on the S&P 500 if the risk-free interest rate is 4.3 percent? (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places.) Implied dividend yield %

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