Assume a stock trades at $95, the volatility of the stock is 36%, and the risk-free interest rate is 3.9%. What is the price of a $101 strike put option expiring in 249 days? Please answer to 2 decimal places.

Assume a stock trades at $95, the volatility of the stock is 36%, and the risk-free interest rate is 3.9%. What is the price of a $101 strike put option expiring in 249 days? Please answer to 2 decimal places.

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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Question

Assume a stock trades at $95, the
volatility of the stock is 36%, and
the risk-free interest rate is 3.9%.
What is the price of a $101 strike
put option expiring in 249 days?
Please answer to 2 decimal
places.

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