A stock sells for $125. A call option on the stock has an exercise price of $110 and expires in 3 months. If the interest rate is 0.15 and the standard deviation of the stock’s return is 0.30. What would be the price of a put option on the same stock with an exercise price of $140 and the same time (3 months) until expiration? Show all workings. (Use the Cumulative Normal Distribution Table) *Show manual workings. No Excel. You can type calculator inputs and outputs.
A stock sells for $125. A call option on the stock has an exercise price of $110 and expires in 3 months. If the interest rate is 0.15 and the standard deviation of the stock’s return is 0.30. What would be the price of a put option on the same stock with an exercise price of $140 and the same time (3 months) until expiration? Show all workings. (Use the Cumulative Normal Distribution Table) *Show manual workings. No Excel. You can type calculator inputs and outputs.
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 sells for $125. A call option on the stock has an exercise price of $110 and expires in 3 months.
If the interest rate is 0.15 and the standard deviation of the stock’s return is 0.30.
What would be the price of a put option on the same stock with an exercise price of $140 and the same time (3 months) until expiration? Show all workings. (Use the Cumulative
*Show manual workings. No Excel. You can type calculator inputs and outputs.
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