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
Q: Which is the better option if the interest rate is r=0.10 (r=10%)? Show all work used to arrive at…
A: Option 1: Receives $1000 at 10% today But if we invest the $1000 received today for 5 years
Q: You notice the following quotes for the FBM KLCI and the index options.) FBM KLCI = 1510 points…
A: HONOR CODE: Since you have posted a question with multiple sub-parts, we will provide the solution…
Q: return of 15% has the choice of receiving one of the following: (6 points) 10 annual payments of…
A: We have to calculate present value FACTOR anniuty and than we have to calculate present value.
Q: For the European Put with the parameters S0 = 100, E = 110, r = 0, expiration in 3 months, use the…
A: The question is based on the concept of binomial option pricing method for put option . The model is…
Q: nd two-year European put option with strike price $100 are $10 and $4 respectively. The…
A: Arbitrage opportunity is the risk free strategy available in the market due to the mispricing in the…
Q: Consider an American Call option with a Strike of $100 and a term of 6 months at time 0. After 3…
A: An option contract allows its buyer to trade (buy/sell) the underlying in the future at a…
Q: Which option yields a higher return? Option A: $50 in 6 months and $50 in 12 months, assuming a…
A: Here,Option A:$50 in 6 Months (n1)$50 in 12 months (n2)Interest Rate (r) is 3%Compounding Period (m)…
Q: value of the option
A: Value of option: Value of an option is the intrinsic value and time value of the assets at a…
Q: How long do the following options have before they expire? Call Price = $5 Put Price = $9 Stock…
A: A financial concept known as "Put-Call Parity" states that there should be no chance of arbitrage…
Q: ut option and a call option with an exercise price of $115 and three months to expiration sell for…
A: The given problem can be solved using put call parity.
Q: The price of Bobco stock is currently $60. In one year, the price will either be $66 or $54. If the…
A: The pricing of options by the means of a replicating portfolio is the process by which the payoffs…
Q: Consider a European put option with exercise price 50 Euro and expiration date 3 months ahead. The…
A: Options: Options give the holder the right, but not the obligation to purchase or sell the…
Q: Determine the present value P that must be invested to have the future value A at simple interest…
A: The PV of an investment refers to the collective worth of the future cash flows after they have been…
Q: Assume that the effective 6-month interest rate is 2\%, the S&R 6-month forward price is $1020, and…
A: TThis is a bull call ratio spread which implies that more calls are bought at a lower strike price…
Q: Vijay
A: Step 1:Calculation of NPV of the Project Particulars01234Initial Investment Value of Land…
Q: The continuously compounded interest rate on 5-year default-free Australian dollar-denominated bonds…
A: Hello. Since your question has multiple parts, we will solve the first question for you. If you want…
Q: A one year call option contract of Office Pro sells for $2,200. In one year, the stock price will be…
A: A call option is a contract where the buyer has the right but not the obligation of purchasing the…
Q: A put option that expires in six months with an exercise price of $45 sells for $4.25. The stock is…
A: Put call parity represents the relationship between the price of a European call option and the…
Q: Consider a call option with an exercise of $20 and which sells for $1.25. Draw the profit diagram…
A: Using excel
Q: Determine the present value P you must invest to have the future value A at simple interest rate r…
A: Information Provided: Amount = $7000.00 Rate = 15% T = 0.75 (39 weeks / 52 weeks)
Q: You write a European Put option on INTC with a strike price of $30 and a $0.69 premium. If at…
A: A put option is a right but not obligation to sell an underlying asset (stock) at particular price…
Q: 12. Use the Black-Scholes formula to find the value of the f (a) Time to expiration 1 year (b)…
A: Black Scholes model is a model which uses the impact of time and other risk factors to calculate the…
Q: A European-style put option that expires two periods from now has an exercise price of $125. The…
A: Given: Given: Stock price 107.5 Interest rate 5% Exercise price 125
Q: Suppose that the put option on Tesla with the strike price of $160 and 9 months to expiration is now…
A: Concept. According to put call parity theory , S+P = C + present value of strike price. Where, S =…
Q: Assume the three-period binomial model (t = 0, 1, 2, 3) where S0 = 4, u = 2, d = 1/2 and r = 1/4.…
A: A method for valuing options was created in 1979 and is called the binomial option pricing model. 1…
Q: Let us consider a covered call strategy. Suppose the call premium is 7, with the exercise price of…
A: The conceptual formula used:
Q: ● Information about the underlying asset: spot price 100, expected return 15%, volatility 20%. ●…
A: To calculate the up-factor (u), down-factor (d), and probability of price moving up (p) in the…
Q: Q10. We have the following data. Using the B&S Model, the price of a call option is Stock price $100…
A: Stock Price is $100 The exercise price is $120 Std. Deviation is 20% Expiration is in 6 months The…
Q: current market price= $12 current stock price= $90 strike price= $85 time to expiration= one…
A: We will use the Black Scholes Model to price the call option. This model will provide the no…
Q: Consider an American put option with time to expiry 15 months, and a strike of 74. The current price…
A: Binomial tree : A binomial tree is a representation of the intrinsic values of an option taken at…
Q: Basic information of an American put option: Remaining maturity: two month; risk-free rate: 5%…
A: An equation used in finance to evaluate options and other derivative instruments is the binomial…
Q: The below table shows the list of prices for puts expiring in 30 days (T = 1/12). Using the put…
A: We are given the following details related to a put option:Current stock price: $234.35Risk-free…
Q: 1. Given an American call option and knowing that S(0) = 19$, X = 20$, r = 10%, T = 5 months, CE =…
A: Using an extension of Put- Call parity we can find the interval of put option.The American Call and…
Q: se Two-State Binomial Option (European) Pricing Model. Suppose you bought a stock today for $38.00.…
A: Here,Stock Price $ 38.00Strike Price $ 35.00Time to…
Q: Calculate the risk neutral probability
A: Risk neutral probability = (er*Δt - d)/(u-d) r is risk free rate. Δt is time period between each…
Q: 1. Given an American call option and knowing that S(0) = 198, X = 20$, r = 10%, T = 5 months, CE =…
A: For an American call option, the exercise price (X) is the price at which the holder of the option…
Q: A power call option pays off (max(ST-X, 0))2 at time T, where ST is the stock price at time T and X…
A: A contract that allows its buyer to purchase or sell the underlying at a price specified today on a…
Q: Assume S- $51, K = $50, 8 = 0.0, r=0.05, a 0.20, and 55 days until expiration. What is the premium…
A: Knock-in call option: It is like a normal call option but it begins to work when a specific price…
Q: Which one of the following offers provides the highest return? Investment Option APR (Annual…
A: For each of the options we need to determine the Effective annual return using the formula below:In…
Q: A put option that expires in six months with an exercise price of $65 sells for $4.45. The stock is…
A: Put call parity represents the relationship between the price of a European call option and the…
Q: Consider the following information: Stock price = $42 Exercise price $36 Risk-free rate = 5% per…
A: A model that helps to evaluate the price of options contracts and the financial instrument’s…
Q: Find the PUT option price using the following data: S0 = $215 X = $220 Risk-free Int Rate = 5% Two…
A:
Q: please compute the two-step binomial model price of a European Call Option with the following…
A: Binomial model for option pricing is used to find price of European style option by concept of risk…
Q: Suppose you bought a December British pound call option with an exercise price of $1.3000/£. The…
A: Options give the buyer the right but not the obligation to buy or sell an underlying asset at a…
Q: A put option with an exercise price of $45 is currently selling for $5. The delta for the put is…
A: The elasticity of a put option can be calculated using its delta. Elasticity measures the…
Q: A put option that expires in six months with an exercise price of $65 sells for $4.45. The stock is…
A: Solution:Put call parity is the equation which shows the relationship between put price, share…
Q: Consider a two year put options with strike Price sh. 52 on a stick whose current price is sh.50.…
A: A European option allows the holder the right to exercise the option only at maturity. An American…
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
AI-generated content may present inaccurate or offensive content that does not represent bartleby’s views.
Unlock instant AI solutions
Tap the button
to generate a solution
Click the button to generate
a solution
- Put together a Black–Scholes option calculator in Excel to answer the following.(a) What is the call-option value withS0 = $45, K = $48, r = 6%, T = 15 months,and volatility = 40%?(b) What is the put-option value withS0 = $60, K = $65, r = 6%, T = 18 months,and volatility = 20%?(c) What is the put-option value withS0 = $38, K = $40, r = 6%, T = 3 months,and volatility = 60%?(d) What is the call-option value withS0 = $100, K = $95, r = 8%, T = 3 years,and volatility = 40%?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 itWhat is the implied volatility of a European call option with the following parameters? c = $3 s0 = $40 k = 41 r = 10% T = 0.5 years (Enter 11.51% as 0.1151. Required precision +/- 0.0002)
- 4. Assume that the call option of the asset stated below has a strike price of $100 expires in 4 months from now with one-period risk free of 5%. Compute for the call option price. ASSET PRICEG $135H $80Assume 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. $15a. 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?Question 2. You have been asked to value a Arithmetic Lookback option which expires in six months time. At the end of the six months the buyer is paid the arithmetic mean of the underlying stock over the contract period. Using the compressed stock tree presented in Figure 1 and assuming an annual interest rate of 4.5% determine the fair price of the Arithmetic Lookback option. Why are Lookback options considered to he expensive? 182.5 158.7 138 138 120 120 104.4 104.4 90.8 79 Figure 1: Compressed stock treeThe below table shows the list of prices for puts expiring in 30 days (T = 1/12). Using the put option with a strike price of $236, estimate the level of the VIX index. K p 230 2.14 231 2.37 232 2.62 233 2.91 234 3.23 235 3.60 236 4.01 237 4.47 238 4.95 Other parameters you'll need: s0 = $234.35r = 0.74%T = 1/12 years (required precision 0.01 +/- 0.01)
- 2. What are the prices of a call option and a put option with the following characteristics? Stock price = $74Exercise price = $72Risk-free rate = 2.7% per year, compounded continuouslyMaturity = 4 monthsStandard deviation = 52% per year 3. Draw the payoff picture at expiration for a long position in a call option that has a premium of $1.25 and a strike price of $30. 4. Draw the payoff picture for a short position in the call option given in Problem 2.5. Draw the payoff picture at expiration for a long position in a put option that has a premium of $3.50 and a strike price of $80. 6. Draw the payoff picture for a short position in the put option given in Problem 4.please let me have it by mornin. Thank you.You notice the following quotes for the FBM KLCI and the index options.) FBM KLCI = 1510 points 1500 call = 35 points 1500 put = 15 points At option maturity, two scenario is assumed 1. (FBM KLCI goes up to 1550 points) 2. (FBM KLCI goes down to 1450 points) (Assuming you can long/short the spot index, the risk-free rate of 2% per year and 90-day maturity for the options: ) (i)(Prove that there is mispricing by using Put-Call parity.) (ii)Outline the arbitrage strategy and show the arbitrage assuming you invested in one lot/contract. (iii) Explain the diagram of the overall position.) (iv) Show that your arbitrage strategy is indeed riskless.) BalasTeruskanPlease calculate the price of a put option that matures in 2 months with a strike price of $58. Assume the risk free rate is 3%/month. 50 Month 1 A. 7.29 B.1.07 OC.11.3 OD.O 62.5 45 Month 2 78.125 56.25 40.5
