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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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?
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 $
ABC Company's current stock price is $100. The risk-free rate is 4%. 38. The payoff to the holder of a call option on ABC with an exercise price of $200 is closest to: A. $100 if stock price at option expiration equals $200 B. Zero if stock price at option expiration equals $100 C. -S40 if stock price at option expiration equals $160
The price of a stock, which pays no dividends, is $64 and the strike price of a one year European call option on the stock is $60. The risk-free rate is 3% (continuously compounded). What is the lower bound for the call option? A. $5.98 B. $5.77 C. $4.12 D. $2.17
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
5. A stock index is currently trading at 50.00. The annual index standard deviation is 20 percent. Paul Tripp, CFA, wants to value two-year index options using the binomial model. To correctly value the options, he needs the formulas in Exhibit 1. The annual risk-free interest rate is 6 percent. Assume no dividends are paid on any of the underlying securities in the index. Exhibit 1. e-D U = e = 1.2214 d==- π₂ where e 1.06184 U-D Where: U = up movement factor D = down movement factor T = probability of an upward price movement

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