Answered: Find the PUT option price using the…

Find the PUT option price using the following data: S0 = $215 X = $220 Risk-free Int Rate = 5% Two possibilities of ST at expiration: $200 or $250 Expiration: 2 years from today

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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Find the PUT option price using the following data: S0 = $215 X = $220 Risk-free Int Rate = 5% Two possibilities of ST at expiration: $200 or $250 Expiration: 2 years from today Upload a Word or photo file. Keep 2 decimal places.
Suppose you bought a December British pound call option with an exercise price of $1.3000/£. The option price was $0.02/£. How much is your payoff if the spot price is $1.3500/£ at expiration? $0 $0.03 $0.04 $0.05 $0.06
A put option with an exercise price of $45 is currently selling for $5. The delta for the put is -0.4, and the stock is currently selling for $50. What is the elasticity of the put?
A put option that expires in six months with an exercise price of $65 sells for $4.45. The stock is currently priced at $61, and the risk-free rate is 3.9 percent per year, compounded continuously. What is the price of a call option with the same exercise price? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) X Answer is complete but not entirely correct. Call price $ 1.68 X
Consider a two year put options with strike Price sh. 52 on a stick whose current price is sh.50. suppose there is 2 times steps and each step is one year and in each times steps the price move up or down by 20%. Suppose the risk Free rate is 5% . Calculate value of put assuming; A) Europeans options B) American options
Basic information of an American put option: Remaining maturity: two month; risk-free rate: 5% (continuously compounded); the underlying current Price: 50; Annual Volatility: 20%; Final Price: 50. Try to construct a two-phase binary tree to price it
Given the following information, predict the European call option's new price after the risk free rate changes. Initial call option price = $3 Initial risk free rate = 9.9% Rho = 9 New risk free rate = 9.5% (required precision 0.01 +/- 0.01) Greeks Reference Guide: Delta = ∂π/∂S Theta = ∂π/∂t Gamma = (∂2π)/(∂S2) Vega = ∂π/∂σ Rho = ∂π/∂r Recall that rho is defined as the partial derivative of the option's price with respect to the risk free rate. (i.e. rho = ∂π / ∂r).
Assume interest rate is zero. In a shout call option the strike price is $30. The holder shouts when the asset price is $40. What is the payoﬀ from the option if the ﬁnal asset price is $35? A. $0 B. $5 C. $10 D. $15
Give typing answer with explanation and conclusion 5. A European call option on Home Depot stock has a strike price of $160 and expires in 0.9 years. Home Depot stock has a current market price of $165.99 and the risk-free rate is 4%. What must be the minimum price of the option?
a. Use the Black-Scholes formula to find the value of the following call option. (Do not round intermediate calculations. Round your final answer to 2 decimal places.) i. Time to expiration 1 year. ii. Standard deviation 40% per year. iii. Exercise price $84. iv. Stock price $84. v. Interest rate 4% (effective annual yield). b. Now recalculate the value of this call option, but use the following parameter values. Each change should be considered independently. (Do not round intermediate calculations. Round your final answers to 2 decimal places.) i. Time to expiration 2 years. ii. Standard deviation 50% per year. iii. Exercise price $94. iv. Stock price $94. v. Interest rate 6%. c. In which case did increasing the value of the input not increase your calculation of option value? a. Call option value b-i. Call option value when time to expiration is 2 years. b-ii. Call option value when standard deviation is 50% per year. b-iii. Call option value when exercise price is $60. b-iv. b-v. C…
use binomial option pricing model for this question. suppose the current spot rate for USD/CHF is 0.7. you need to find the one-year call option price of USD/CHF with the exercise price of 0.68 USD/CHF. Assume that our future states will be either 0.7739 U&SD/CHF or 0.6332 USD/CHF. 1) What are the payoffs of a call option (for both states) 2) what is the hedge ratio of the call option?

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