Current market price of ABC stock = $77 ABC stock price after 30 days = $80 ABC stock price after 45 days = $95 ABC stock price after 60 days = $80 ABC stock price after 75 days = $85 ABC stock price after 90 days = $70 Current price of European call on ABC stock with exercise price of $93 with 90 days to expiration = $2 Current price of European put on ABC stock with exercise price of $82 with 60 days to expiration = $6 Risk-free rate = 5% 1. The payoff to the put option holder on Day 30 is closest to: A. Zero В. $2 C. -$2

Current market price of ABC stock = $77 ABC stock price after 30 days = $80 ABC stock price after 45 days = $95 ABC stock price after 60 days = $80 ABC stock price after 75 days = $85 ABC stock price after 90 days = $70 Current price of European call on ABC stock with exercise price of $93 with 90 days to expiration = $2 Current price of European put on ABC stock with exercise price of $82 with 60 days to expiration = $6 Risk-free rate = 5% 1. The payoff to the put option holder on Day 30 is closest to: A. Zero В. $2 C. -$2

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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Similar questions

A non paying dividend stock's price is 51. Call option delta is 0.5. Stock volatility is 0.2.By using BS model, the premium of 9 months 56-strike priced European Call option is (Please keep four decimal places).
A company's stock is currently valued at £40 on the London Stock Exchange. Four European call options on this stock are priced at £10, £4, £5.5 and £1, respectively. These have strike prices of £30, £50, £40, £60. Is there arbitrage here ? O YES NO
Given the following information, price of a stock: strike price of a six-month call: market price of the call: strike price of a six-month put: market price of the put: $102 $100 $6 $100 $3 The maximum amount a short seller (of the stock) can profit is $
A stock is priced at $30. An American call option on this stock with a $25 strike must be worth at least how much?
A speculator can choose between (i) buying 108 shares of a stock for $50.58 per share, and (ii) buying 1080 European call options on that stock with a strike price of $42 for $3.99 per option. At maturity, what is the stock price that would make the two alternatives equally profitable? a. 1.58 O b. 42.81 O c. 47.57 d. 45.96 e. 14.18
12. A non paying dividend stock is priced at 50. Call option delta is 0.5. Stock volatility is 0.29. By using BS model, the premium of 55-strike priced European call option in 6 months is
Current market price of ABC stock is $77 ABC Stock price after 30 days =$80 ABC Stock price after 45 days =$95 ABC Stock price after 60 days =$80 ABC Stock price after 75 days =$85 ABC Stock price after 90 days =$70 Current price of European call on ABC stock with exercise price of $93 with 90 days to expiration =$2 Current price of European put on ABC stock with exercise price of $82 with 60 days to expiration =$6. Risk free rate is 5%. At t=45, the minimum value of the call option is closest to A.$2.56 B.$2 C.$0
what can you say about the price movement of the stock? (AP)
b. What is a lower bound for the price of a nine-month European put option on a non-dividendpaying stock when the stock price is $65, the strike price is $69, and the risk-free interest rate is5% per annum? c. What is a lower bound for the price of a nine-month European call option on a non-dividendpaying stock when the stock price is $75, the strike price is $70, and the risk-free interest rate is8% per annum?
Market Data Risk-Free Rate (Annualized) 0.025 Vokinar Corporation Stock Price $55.00 Dividend Yield 0.03 Standard Deviation 0.45 Exercise Price $50.00 Maturity (Years) 0.25 Required: Using the Black-Scholes option pricing formula and the data above, please calculate the price of the European call and put for this share of stock. (Use cells A3 to B10 from the given information to complete this question.) Vokinar Corporation d1 d2 N(d1) N(d2) Call Price Put Price
Let there exist a non-dividend-paying stock, A, which has a current price of $80. Let there exist another stock, B, which has a current price of $100. Stock B will continuously pay dividends at a dividend yield of x. A one-year European exchange call option with underlying asset A and strike asset B is sold for $5, while a one-year European exchange put option with underlying asset A and strike asset B is sold for $15. 12% is the continuously compounded, risk-free interest rate. Calculate the value of stock B's dividend yield, x.
A company’s stock currently sells for $81.16. A one-year European put option on that stock with strike price of $85 sells for $16.24, and the risk free interest rate is 1.6%. The market expects the company to pay dividends during that period, and the market consensus is that present value of those dividends is $5.26. The price of a one-year European call option on that stock with strike price of $85 is $_________. (Note i: answer must be accurate to the nearest cent). (Note ii. Use annual compounding NOT exponential compounding for the purpose of this question).

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