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You are long both a call and a put on the same share of stock with the same exercise date. The exercise price of the call is $40 and the exercise price of the put is $45. What is the minimum payoff from this option portfolio at the expiration date? (in dollars without the dollar sign, use two decimal places).
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- Consider shorting a call option c on a stock S where S = 24 is the value of the stock, K = 30 is the strike price, T = ½ is the expiration date, r = 0.04 is the continuously compounded interest rate per year, and = 0.3 is the volatility of the price of the stock. Determine the delta ratio Δ .Use the Black-Scholes formula to find the value of a call option based on the following inputs. (Round your final answer to 2 decimal places. Do not round intermediate calculations.) Stock price Exercise price Interest rate Dividend yield Time to expiration Standard deviation of stock's returns Call value GA $ $ $ 48 60 0.07 0.04 0.50 0.26Assume that the value of a call option using the Black-Scholes model is $8.94. The interest rate is 8 percent, and the time to maturity is 90 days. The price of the underlying stock is $47.38, and the exercise price is $45. Calculate the price of a put using the put-call parity relationship.
- Suppose you construct a strategy based on options on a stock that is currently selling for $100. The strategy is as follows: Buy one call option having an exercise price of $95. Sell two calls having an exercise price of $100. Buy one call option having an exercise price of $105. All of the options are written on the same stock and all have the same expiration date. Compute the payoff (the dollars you receive) from this strategy at the expiration date for each of the following alternative stocks prices: $90, $95, $98, $100, $102, $105, and $110. What additional information would be required to determine whether your strategy had been profitable? What is the name of this strategy?Suppose that a call option with a strike price of $48 expires in one year and has a current market price of $5.17. The market price of the underlying stock is $46.25, and the risk-free rate is 1%. Use put-call parity to calculate the price of a put option on the same underlying stock with a strike of $48 and an expiration of one year. The price of a put option on the same underlying stock with a strike of $48 and an expiration of one year is $. (Round to the nearest cent.)A PUT and a CALL option are written on a stock with a strikeprice of $60. The options are held until expiration. Suppose the stock price at expiration is $75. Call premium is $16 and Put premium is $3. The CALL option will ___ because the call is ___. But the PUT option will ___ because the put is ___, with a TIME VALUE of ___.a) Be exercised; in-the-money; not be exercised; out-of-the-money; zerob) not be exercised; out-of-the-money; be exercised; in-the-money; zeroc) Be exercised; in-the-money; not be exercised; out-of-the-money; 1d) Be exercised; in-the-money; be exercised; in-the-money; zeroe) None of the above is correct
- What is the value of a put option if the underlying stock price is $44, the strike price is $37, the underlying stock volatility is 49 percent, and the risk-free rate is 5.6 percent? Assume the option has 137 days to expiration. (Use 365 days in a year. Do not round intermediate calculations. Round your answer to 2 decimal places.) Value of a put optionBased on the put - call parity, please briefly explain how to replicate a call option of a stock with a strike price of $100. Assume that the risk-free rate is 5%.Use the Black-Scholes formula to find the value of a call option based on the following inputs. Note: Do not round intermediate calculations. Round your final answer to 2 decimal places. Stock price Exercise price Interest rate Dividend yield Time to expiration Standard deviation of stock's returns Call value $ 51 $ 64 0.068 0.04 0.50 0.265
- You buy a share of stock, write a 1-year call option with X= $95, and buy a 1-year put option with X= $95. Your net outlay to establish the entire portfolio is $94. The stock pays no dividends. a. What is the payoff of your portfolio? Payoff b. What must be the risk-free interest rate? (Round your answer to 2 decimal places.) Risk-free rateA stock is currently priced at $48 and will move up by a factor of 1.1 or down by a factor of .67 each period over each of the next two periods. The risk-free rate of interest is 3 percent. What is the value of a put option with a strike price of $52? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Value of a put optionWhat is the value of a call option if the underlying stock price is $82, the strike price is $90, the underlying stock volatility is 51 percent, and the risk-free rate is 3 percent? Assume the option has 62 days to expiration. (Use 365 days in a year. Do not round intermediate calculations. Round your answer to 2 decimal places.) Value of a call option