a) What is the price of the option (rounded to the nearest cent)? Answer = $ b) What is the option's delta (rounded to four decimal places)? Answer= c) Use your answer from (b) to estimate the value of the option tomorrow, assuming the stock is trading at $40.95 at that time? Answer = $
A stock currently trades at $40, and the volatility of its return is 10%. The continuously compounded rate of interest is 12%. Consider a call option struck at $45, with 75 days to expiration (recall that there are 251 trading days in one year). a) What is the price of the option (rounded to the nearest cent)? Answer = $ . b) What is the option's delta (rounded to four decimal places)? Answer = . c) Use your answer from (b) to estimate the value of the option tomorrow, assuming the stock is trading at $40.95 at that time? Answer = $ . d) What is the exact value of the option tomorrow, assuming the stock is trading at $40.95 at that time? Answer = $ . [Note: Use software to compute the values of the normal CDF, not the table.]
![WebWork 6: Problem 10
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A stock currently trades at $40, and the volatility of its return is 10%. The continuously compounded rate of interest is 12%. Consider a call
option struck at $45, with 75 days to expiration (recall that there are 251 trading days in one year).
a) What is the price of the option (rounded to the nearest cent)?
Answer -$
b) What is the option's delta (rounded to four decimal places)?
Answer =
c) Use your answer from (b) to estimate the value of the option tomorrow, assuming the stock is trading at $40.95 at that time?
Answer = $
d) What is the exact value of the option tomorrow, assuming the stock is trading at $40.95 at that time?
Answer = $
[Note: Use software to compute the values of the normal CDF, not the table.]](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F2568ac2e-a70c-4c9d-a569-2a253243ecce%2F557b1c9d-65c8-4703-a927-d94b4d03ebe4%2Fw67pgsv_processed.jpeg&w=3840&q=75)
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