Below is the price and other information for a European call option. Based on this information, find the premium with the Black-Scholes model. S = $ 98 K = $ 100 t = 3 months r = 5% S 2 = 25% (0.25) S = 0.5
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Below is the price and other information for a European call option.
Based on this information, find the premium with the Black-Scholes model.
S = $ 98
K = $ 100
t = 3 months
r = 5%
S 2 = 25% (0.25)
S = 0.5
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- The following graph shows the contingency graph for purchasers of euro put options, with a premium of $0.06 and an exercise price of $1.38. NET PROFIT PER UNIT (Dollars per unit) 0.07 0.06 0.05 0.04 0.03 0.02 0.01 0 -0.01 -0.02 -0.03 -0.04 -0.05 -0.06 OD ← 1.3, 0 -0.07 + 1.22 1.24 1.26 1.28 1.30 1.32 1.34 1.36 1.38 1.40 FUTURE SPOT RATE (Dollars per euro) ? According to the graph, if the spot rate turns out to be $1.26, and the option is exercised, the buyer will According to the graph, break-even price is $0.04 $0.06 $0.01 $0.03 per unit.The following graph shows the contingency graph for purchasers of euro call options, with a premium of $0.04 and an exercise price of $1.42. NET PROFIT PER UNIT (Dollars per unit) 0.05 0.04 0.03 0.02 0.01 0 H -0.01 -0.02 -0.03 -0.04 17 -0.05 O 1.38 1.40 1.42 1.44 1.46 1.48 1.50 1.52 1.54 1.56 FUTURE SPOT RATE (Dollars per euro) (?) According to the graph, if the spot rate turns out to be $1.48, and the option is exercised, the buyer will According to the graph, break-even price is $1.46 lose gain per unit.The following graph shows the contingency graph for sellers of euro call options, with a premium of $0.08 and an exercise price of $1.16. NET PROFIT PER UNIT (Dollars per unit) 0.09 0.08 0.07 0.06 0.05 0.04 0.03 0.02 0.01 0 -0.01 -0.02 -0.03 -0.04 -0.05 -0.06 -0.07 -0.08 -0.09 1.12 1.14 1.16 1.18 1.20 1.22 1.24 1.26 1.28 1.30 FUTURE SPOT RATE (Dollars per euro) According to the graph, if the spot rate turns out to be $1.18, and the option is exercised, the seller will According to the graph, break-even price is per unit.
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- Assume that the two-period Binomial Option Pricing model holds (n=2), with the following information (t = 1 year, S = $40, u = 1.1, d =0.9, K= $45, and r = 10%). What is the value of this * ?European call option %3D %3DYou write a European Put option on INTC with a strike price of $30 and a $0.69 premium. If at expiration INTC is the following price, what is your profit? $35 $32 $27 $25The risk-fee rate is 5% per period and a (non- income paying) security has a current price of £300. In one period the price will either rise to £360 or fall to £240. A one-period European put option exists with a strike price of £325. A second one-period European put option exists with a strike price of £315. Which put would you expect to have the greater price. Select one: a. Their prices should be equal b. The £315 put c. We do not have enough information to tell d. The £325 put
- A European put option with strike price $26.00, the underlying asset S (0) is $26 and the return over each period R=1.06. CRR notation d=0.8 and u=1.25 Construct a three-step binomial pricing tree for the European put option and calculate the premium.You are considering a European put option and a European call option on ABC Ltd and have available the following information. The put option with an exercise price of $15 and time to maturity of 60 days is priced at $2.00. The call option with the same exercise price and time to maturity is priced at $3.00. The underlying asset price is $15. The risk-free rate is 2% per 60 days. Could an arbitrage profit be earned? If so, how much the arbitrage profit is? Show your works (Hint: use discrete put-call parity equation and consider two scenarios for stock price at maturity of the options: $10 or $20).The continuously compounded interest rate on 5-year default-free Australian dollar-denominated bonds is 0.5% per annum. The continuously compounded interest rate on 5-year default-free Euro- denominated bonds is 0.2% per annum. There are no transactions costs. The current exchange rate is $1.50 Australian for 1 Euro. There will be arbitrage opportunities unless a 5-year European-style put option on 50,000 Euro with an exercise price of $90,000 is worth at least O $13,528.88 O $12,777.89 O 557.413.10 O $16,524.60 O $13,524.15