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

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

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 stock is currently selling for $30. Over the next two periods, the stock will move up by a factor of 1.13 or down by a factor of 0.82 each period. A call option with a strike price of $29 is available. If the risk-free rate of Interest is 3.2 percent per period, what is the value of the call option? Note: Do not round Intermediate calculations. Round your answer to 2 decimal places. Answer is complete but not entirely correct. Value of the call option 1.55 x
Suppose the 6-month Mini S&P 500 futures price is 1,170.78, while the cash price is 1,158.57. What is the implied difference between the risk-free interest rate and the dividend yield on the S&P 500? Note: Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. Implied difference %
A stock is currently priced at $42 and will move up by a factor of 1.23 or down by a factor of .91 each period over each of the next two periods. The risk-free rate of interest is 3 percent. What is the value of a put option with a strike price of $49? (Do not round Intermediate calculations. Round your answer to 2 decimal places.) Value of a put option
The stock of Lead Zeppelin, a metal manufacturer, currently sells for $69 and has an annual standard deviation of 42 percent. The risk- free rate is 3.1 percent. What is the value of a put option with a strike price of $70 and 51 days to expiration? (Use 365 days in a year. Do not round intermediate calculations. Round your answer to 2 decimal places.) Value of a put option
A stock currently sells for $34.4. A 6-month call option with a strike price of $41 has a premium of $5.5. Let the continuously compounded risk-free rate be 3%. What is the price of the associated 6-month put option with the same strike (to the nearest penny)? Price = $ b) A stock currently sells for $33.35. A 6-month call option with a strike price of $30.1 has a premium of $2.3,and a 6-month put with the same strike has a premium of $0.9. Let the continuously compounded risk-free rate be 4%. What is the present value of dividends payable over the next 6 months (to the nearest penny)?
Use the Black-Scholes formula for the following stock: Time to expiration Standard deviation Exercise price Stock price Interest rate |||||||||| Value of a call option = = 6 months 56 % per year 55 = 54 6% Calculate the value of a call option. (Do not round intermediate calculations. Round your answer to 2 decimal places. Omit the "S" sign in your response.)
A put option that expires in six months with an exercise price of $65 sells for $4.45. The stock is currently priced at $61, and the risk-free rate is 3.9 percent per year, compounded continuously. What is the price of a call option with the same exercise price? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Call price
The current price of a stock is $18. In 1 year, the price will be either $28 or $15. The annual risk-free rate is 3%. The data has been collected in the Microsoft Excel Online file below. Open the spreadsheet and perform the required analysis to answer the question below. X Open spreadsheet Find the price of a call option on the stock that has a strike price is of $23 and that expires in 1 year. (Hint: Use daily compounding.) Assume 365-day year. Do not round intermediate calculations. Round your answer to the nearest cent. $
A put option that expires in six months with an exercise price of $65 sells for $4.45. The stock is currently priced at $61, and the risk-free rate is 3.9 percent per year, compounded continuously. What is the price of a call option with the same exercise price? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) X Answer is complete but not entirely correct. Call price $ 1.68 X
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An investor owns Citibank stock at $75. They want to sell some 3-month out- of-the-money call options against their position. STRIKES 72.50 75 77.50 CALL PRICE 5.60 4.12 2.84 Create a table showing the profit and loss for underlying trading at 70, 72.5, 75, 77.5, 80 and 82.5 for all the positions and the option strategy. Draw an expiry pay-off diagram, using the prices in the table.
The price of Newgen Corp. stock will be either $94 or $103 at the end of the year. Call options are available with one year to expiration. T-bills currently yield 7.90%. (Do not leave any empty spaces; input a O wherever it is required. Omit "$" sign in your response.) a. Suppose the current price of Newgen stock is $104. What is the value of the call option if the exercise price is $94 per share? (Round the final answer to 2 decimal places.) Call option value b. Suppose the exercise price is $109 in part (a). What is the value of the call option now? Call option value

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