A stock has a price of $31 and an annual return volatility of 50 percent. The risk-free rate is 2.95 percent. Perform calculations in Excel. a. Calculate the call and put option prices with a strike price of $25 and a 90-day expiration. (Round your answers to 2 decimal places. Omit the "$" sign in your response.) Call premium Put premium LA LA b. Calculate the deltas of the call and put. (Negative amounts should be indicated by a minus sign. Round your answers to 4 decimal places.)

Essentials Of Investments
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Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
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Chapter1: Investments: Background And Issues
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A stock has a price of $31 and an annual return volatility of 50 percent. The risk-free rate
is 2.95 percent. Perform calculations in Excel.
a. Calculate the call and put option prices with a strike price of $25 and a 90-day
expiration. (Round your answers to 2 decimal places. Omit the "$" sign in your
response.)
Call premium
Put premium
$
Call delta
Put delta
LA LA
b. Calculate the deltas of the call and put. (Negative amounts should be indicated by a
minus sign. Round your answers to 4 decimal places.)
Transcribed Image Text:A stock has a price of $31 and an annual return volatility of 50 percent. The risk-free rate is 2.95 percent. Perform calculations in Excel. a. Calculate the call and put option prices with a strike price of $25 and a 90-day expiration. (Round your answers to 2 decimal places. Omit the "$" sign in your response.) Call premium Put premium $ Call delta Put delta LA LA b. Calculate the deltas of the call and put. (Negative amounts should be indicated by a minus sign. Round your answers to 4 decimal places.)
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