A non-dividend paying stock is selling for $52.50.The standard deviation of its returns is 45% p.a.The risk free rate is 4% p.a. ( c) What is the value of a 6-month put over the same stock with a strike price of $60?Calculate your answer based on this input table. Inputs Standard Deviation (annual) 45% Maturity (in years) 0,50 Risk-Free Rate (annual) 4% Exercise Price $60,00 Dividend Yield (annual) 0 Stock Price=$52.50 $52,50 d1 is: -0,1977

To calculate the value of a 6-month put option on a non-dividend paying stock with a strike price of…

Answered: A non-dividend paying stock is selling…

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 non-dividend paying stock is selling for $52.50.
The standard deviation of its returns is 45% p.a.
The risk free rate is 4% p.a.

( c) What is the value of a 6-month put over the same stock with a strike price of $60?
Calculate your answer based on this input table.
Inputs
Standard Deviation (annual)			45%
Maturity (in years)			0,50
Risk-Free Rate (annual)			4%
Exercise Price			$60,00
Dividend Yield (annual)			0
Stock Price=$52.50			$52,50

d1 is:			-0,1977