Assume the following inputs for a call option: (1) current stock price is $30, (2) strike price is $33, (3) time to expiration is 4 months, (4) annualized risk- free rate is 3%, and (5) variance of stock return is 0.32. The data has been collected in the Microsoft Excel Online file below. Open the spreadsheet and perform the required analysis to answer the question below. ☑ Open spreadsheet Use the Black-Scholes model to find the price for the call option. Do not round intermediate calculasons. Round your answer to the nearest cent.
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- Excel Online Structured Activity: Black-Scholes Model Assume the following inputs for a call option: (1) current stock price is $29, (2) strike price is $35, (3) time to expiration is 4 months, (4) annualized risk-free rate is 4%, and (5) variance of stock return is 0.32. The data has been collected in the Microsoft Excel Online file below. Open the spreadsheet and perform the required analysis to answer the question below. Black-Scholes Model Current price of underlying stock, P $29.00 Strike price of the option, X $35.00 Number of months unitl expiration 4 Formulas Time until the option expires, t #N/A Risk-free rate, rRF 4.00% Variance, \sigma 2 0.32 d1 = #N/A N(d1) = 0.5000 d2 = #N/A N(d2) = 0.5000 VC = #N/A Use the Black-Scholes model to find the price for the call option. Do not round intermediate calculations. Round your answer to the nearest cent. $ fill in the blank.Video Excel Online Structured Activity: Black-Scholes Model Assume the following inputs for a call option: (1) current stock price is $26, (2) strike price is $30, (3) time to expiration is 6 months, (4) annualized risk-free rate is 6%, and (5) variance of stock return is 0.2. The data has been collected in the Microsoft Excel Online file below. Open the spreadsheet and perform the required analysis to answer the question below. X Open spreadsheet Use the Black-Scholes model to find the price for the call option. Do not round intermediate calculations. Round your answer to the nearest cent. $The market and Stock J have the following probability distributions: Probability rM rJ 0.3 15.00 % 19.00 % 0.4 10.00 6.00 0.3 18.00 10.00 The data has been collected in the Microsoft Excel Online file below. Open the spreadsheet and perform the required analysis to answer the questions below. Open spreadsheet Calculate the expected rate of return for the market. Do not round intermediate calculations. Round your answer to two decimal places.fill in the blank %Calculate the expected rate of return for Stock J. Do not round intermediate calculations. Round your answer to two decimal places.fill in the blank % Calculate the standard deviation for the market. Do not round intermediate calculations. Round your answer to two decimal places.fill in the blank %Calculate the standard deviation for Stock J. Do not round intermediate calculations. Round your answer to two decimal places.fill in the blank %
- You want to estimate the monthly alpha and beta of AXON stock, using the index model. Suppose AXON has a beta of 0.95 and a monthly alpha of 0.5 (representing half a percent). If you set up the regression model correctly, the index model equation should be (remember in index model formulas, we use R instead of r to denote excess returns): Select an answer and submit. For keyboard navigation, use the up/down arrow keys to select an answer. b с d Rmarket = Rmarket = 0.5 x Rstock +0.95 Raxon 0.95 x Rstock +0.5 = 0.5 x Rmarket +0.95 Raxon = 0.95 x Rmarket +0.5Type the answers with a screen capture of chart. Produce a daily OHLC bar or Candlestick price chart on PTC us stock. Then, add (1) Two moving averages (it can be simple moving averages or exponential moving averages, with one faster and one slower). You can choose any parameter (number of days, simple or exponential) you prefer. (2) Trend lines over the period covered. It can be up trend line, down trend line or channel that you observe from the chart. (3) Technical indicator(s) such as RSI or MACD. Note: after done the drawing, capture the screen and save as picture and then work with your saved pictures. Can use ANY charting app. On the chart, 1. Identify and mark the current key support and resistance levels. They should include the immediate support/resistance level and the next support/resistance levels. "Current" means you are focusing on the current or latest price level, do not mention the support or resistance levels when the price was, say, several months ago in the earlier…The following table represents the rate of returns of two stocks in different economic conditions along with their probabilities (the data are also uploaded on moodle) RATES OF RETURN ON STOCKS EXPECTED ECONOMIC PROBABILITY STOCK A STOCK B CONDITIONS RECESSION 0.55 -0.04 -0.02 STABLE 0.35 0.25 0.30 EXPANDING 0.10 0.15 0.20 Answer the following by using mathematical calculations: a) Calculate the expected rate of return for each stock respectively. Explain what the expected value implies. b) Calculate the standard deviation for each stock respectively. Explain what the standard deviation implies. c) If you were an investor in which stock you were going to invest? Justify your answer. d) Calculate the covariance between Stock A and stock B. Discuss. e) Calculate the expected return and the standard deviation of the portfolio consisting 40% in stock A and 60% in stock B. f) Discuss the risk and return associated with investing i All of your funds in stock A ii. All of your funds in stock…
- (Expected rate of return and risk) Syntex, Inc. is considering an investment in one of two common stocks. Given the information that follows, which investment is better, based on the risk (as measured by the standard deviation) and return? Common Stock A Probability 0.20 0.60 0.20 Probability 0.15 0.35 0.35 0.15 (Click on the icon in order to copy its contents into a spreadsheet.) ew an example Get more help. T 3 a. Given the information in the table, the expected rate of retum for stock A is 15.6 %. (Round to two decimal places.) The standard deviation of stock A is %. (Round to two decimal places.) E D 80 73 Return. 12% 16% 18% U с $ 4 R F 288 F4 V Common Stock B % 5 T FS G 6 Return -7% 7% 13% 21% B MacBook Air 2 F& Y H & 7 N 44 F? U J ** 8 M | MOSISO ( 9 K DD O . Clear all : ; y 4 FIX { option [ + = ? 1 Check answer . FV2 } ◄ 1 delete 1 return shiftStock X has a 9.5% expected return, a beta coetticient ot 0.8, and a 35% standard deviation of expected returns. Stock Y has a 12.0% expected return, a beta coetticient of 1.1, and a 20.0% standard deviation. The risk-free rate is 6%, and the market risk premium is 5%. The data has been collected in the Microsoft Excel Online file below. Open the spreadsheet and perform the required analysis to answer the questions below. XE Open spreadsheet a. Calculate each stock's coefficient of variation. Round your answers to two decimal places. Do not round intermediate calculations. CV CVy b. Which stock is riskier for a diversified investor? I.For diversified investors the relevant risk is measured by standard deviation of expected returns. Therefore, the stock with the lower standard deviation of expected returns is more risky. Stock Y has the lower standard deviation so it is more risky than Stock X, II. For diversified investors the relevant risk is measured by beta. Therefore, the stock…Consider a world that only consists of the three stocks shown in the following table: a. Calculate the total value of all shares outstanding currently. b. What fraction of the total value outstanding does each stock make up? c. You hold the market portfolio, that is, you have picked portfolio weights equal to the answer the total value of all stocks. What is the expected return of your portfolio? Data table (Click on the following icon in order to copy its contents into a spreadsheet.) Total Number Current Price per of Shares Outstanding Share Stock First Bank Fast Mover Funny Bone 107 million 46 million 207 million $111 $120 $30 part with each stock's weight is equal to its contribution to the fraction of Expected Return 17% 11% 16% X
- (Expected rate of return and risk) Syntex, Inc. is considering an investment in one of two common stocks. Given the information that follows, which investment is better, based on the risk (as measured by the standard deviation) and return? Common Stock A Probability 0.20 0.60 0.20 Probability 0.15 0.35 0.35 0.15 (Click on the icon in order to copy its contents into a spreadsheet.) Common Stock B Return 13% 14% 18% Return - 6% 7% 15% 21% a. Given the information in the table, the expected rate of return for stock A is 14.6 %. (Round to two decimal places.) The standard deviation of stock A is %. (Round to two decimal places.)Karen Kay, a portfolio manager at Collins Asset Management, is using thecapital asset pricing model (CAPM) for making recommendations to her clients.Her research department has developed the information shown in the followingexhibit.Forecast Returns, Standard Deviations, and BetasForecast Return Standard Deviation BetaLow β stock (X) 14.0% 36% 0.8High β stock (Y) 17.0% 25% 1.5Market index 14.0% 15% 1.0Risk-free rate 5.0%(a) Calculate expected return and alpha for each stock.(b) Identify and justify which stock would be more appropriate for an investorwho wants to add this stock to a well-diversified equity portfolio.(c) Now consider Karen employs the “Betting Against Beta” strategy and let, , and denote the portfolio weights of the investmentin each of the asset classes (e.g. risk-free asset, low beta stock, market index,high beta stock, respectively) such that .According to its investment mandate, Collins Asset Management shouldtarget a gross leverage of 2.3. How much does she have to…Assume that there are three different put options on a stock available and that all of them have the same expiration date. These three options have the following market prices $6, $3, and $1, and strike prices $40, $35, and $30, respectively. Construct a butterfly spread and show the relevant profits and losses. The use of graph is essential.