Let 5-$32,0-30%-6.3%, and 6-1% (continuously compounded) Compute the Black-Scholes price for a $35-strike European put option with 9 months until expiration Selected Answe $4.02 $4.02 1263 $5.4)
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- Q.3Determine the risk-neutral value for a European put option (for a FLB (First Local Bank) share) that expires in eight months. The strike price is R500 and the current price is R650. The interest rate is 11%, and the volatility of the security is 0.026.Maturity (days) Strike 66 Part1: SO 620 595.9355586 ● r (annualized) O 0.056329721 11% Option Type Call Use the data you are provided with on blackboard to replicate and interpret the following figures Call price as a function of the current underlying price S0 or put price as a function of the current underlying price SO depending on the data assigned to you. Carefully interpret the figures. Make sure you are not simply describing the figures but that you are answering the question of why we observe the patternQ.3 Determine the risk-neutral value for a European put option (for a FLB (First Local Bank) share) that expires in eight months. The strike price is R500 and the current price is R650. The interest rate is 11%, and the volatility of the security is 0.026.
- QUESTION 4 You want to sell four call option contracts on AA Industries ntock at a strike price of $32.50 a share. How much will you receive in option premiums if you place this order today? Use these option quotes to answer this question: ZZ Industries: Price 34.36 Calla: Strike Symbol Last Chg Bid Ask Vol Орen Int 30.00 ZZBF 4.30 10.07 4.30 4.40 62 3,429 32.50 ZZBZ 1.87 10.07 1.82 1.87 236 8,168 35.00 ZZBG 0.01 10.05 0.00 0.01 3119 38,017 Puts: Strike Symbol ZZNF Chg Open Int 7,258 Last Bid Ask Vol 30.00 0.01 0.00 0,00 0.01 32.50 ZZNZ 0.01 10.02 0.00 0.01 562 34,972 35.00 ZZNG 0.60 10.14 0.63 0.68 2637 19,686 01.51.02 02 5702 O3. 5827 O4. 5720Q1 - What is the price of European call option on same stock, same expiry and same strike price. Q2 - Explain arbitrage opportunities if European call price is $4.10 and 7.50. How much will arbitrage profit be for each? European put costs - $2.35 Expires in 6 months Strike = $100 %3D SO = $104 Dividend = $2 expected in 2 months Rf=5% (comp cont)Question 5 of 30: An investor wrote a naked call option. The premium was Rs. 2.50 per share and the market price and the exercise price of the same are Rs. 37 and Rs. 41 respectively is the amount that is required to be deposited with the clearing house (the contract is for 100 shraes) Rs. 590 O Rs 620 ORs. 680 rS. 600 O O O O
- Question 1 Help = 1. Find the expected profit for a holder of a European call option with K = 94 to be exercised in six months if the stock price at maturity is ST (90, 96, 98) with probabilities p = (1, 1, 1), given that the option is bought for Co= 10 financed by a loan at the interest rate of 10% (per annum).Q1 Consider the option on currency HKD against the USD: • Current spot rate is HKD7.50 for 1 USD • Risk-free HKD rate of interest is 5% p.a. • Risk-free USD rate of interest is 2% p.a. • Volatility (σ) of the currency returns is 20% p.a. • Maturity of the option is 3 months. • Strike rate of the option is HKD8.00 for 1 USD • The currency options are European in nature Answer the following questions. (i) How much does it cost to hold (i.e., buy) a call-HKD option? Use the Garman Kohlhagen model. (ii) What is the minimum terminal exchange rate for the holder of the call-HKD option to profit from holding the currency option? (iii) How much does it cost to hold (i.e., buy) a put-HKD option? Do not use the Garman Kohlhagen model.Q1 Consider the option on currency HKD against the USD: • Current spot rate is HKD7.50 for 1 USD • Risk-free HKD rate of interest is 5% p.a. • Risk-free USD rate of interest is 2% p.a. • Volatility (σ) of the currency returns is 20% p.a. • Maturity of the option is 3 months. • Strike rate of the option is HKD8.00 for 1 USD • The currency options are European in nature Answer the following questions. (i) How much does it cost to hold (i.e., buy) a call-HKD option? Use the Garman Kohlhagen model.
- Question Two (a) A six-month European Call option on a non-dividend paying Stock Index has a strike price of $4900. The index price is $5000, the risk-free rate is 5% per annum, and the value of u and d are 1.06 and 0.94, respectively. Use a two-step binomial tree to calculate the option price.TABLE 6.1 Use the table to answer the following question(s). Spot Forward Rates 6 months Swaps 3 year Yen: Spot and Forward (V/$) Mid Rates 129.87 129.68 128.53 Refer to Table 6.1. Cross rates are all of these. Bid 129.82 -20 -136 1232 129.92 1212 Pound: Spot and Forward ($/£) Mid Rates 1.4484 1.4459 1.4250 O are often reported in the form of a matrix in the financial newspapers. O can be used to check on opportunities for intermarket arbitrage. for the spot market in the table are "188.10" (using the mid rates). Bid 1.4481 -160 -238 -230Question 5 of 30: An investor wrote a naked call option. The premium was Rs. 2.50 per share and the market price and the exercise price of the same are Rs. 37 and Rs. 41 respectively is the amount that is required to be deposited with the clearing house (the contract is for 100 shraes) Rs. 590 O Rs 620 ORs. 680