Adam Smith is a portfolio manager with Point72 Investments, a U.S.-based asset management firm. Smith is considering using options to enhance portfolio returns and control risk. He asks his junior analyst, Tommy Hilfiger, to help him. Hilfigercollected the current market prices and data of selected instruments related to Lotus stock in the following Table.European call option on Lotus stockEuropean put option on Lotus stockLotus stock priceTime to expiration of options in month$8$4$603$5510%$1.50Exercise price of optionsRisk-free rateDividend to be paid in 3 monthsAccording to the table, What will be the arbitrage profit per share without considering the transaction cost? (use this put call parity for the calculation: C + D + Ke-T = p + S0)

Call options are the financial derivatives that provide the option holder a right to buy some…

opean call option on Lotus stock opean put option on Lotus stock s stock price e to expiration of options in month rcise price of options =-free rate dend to be paid in 3 months $8 $4 $60 3 $55 10% $1.50

opean call option on Lotus stock opean put option on Lotus stock s stock price e to expiration of options in month rcise price of options =-free rate dend to be paid in 3 months $8 $4 $60 3 $55 10% $1.50

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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P9
You have the following information on six-month European options based on a common underlying stock: Call options: $70.00 strike options trade at $9.71. $72.50 strike options trade at $8.30. • $75.00 strike options trade at $6.98. ● Put options: • $75.00 strike options trade at $13.55. • $77.50 strike options trade at $15.58. • $80.00 strike options trade at $17.77. If the continuously compounded risk free rate is 5.30%, what does put call parity suggest is the current stock price? Report your answer without a dollar sign to four decimal places.
Stock Price Option Price Exercise Value Time Value $25.00 $3.00 $0.00 $3.00 $30.00 $7.00 $5.00 $2.50 $35.00 $12.00 $10.00 $2.00 $40.00 $16.00 $15.00 $1.50 $45.00 $21.00 $20.00 $1.00 $50.00 $25.00 $25.00 $0.50 What happens to the option’s time value as the stock price rises? Why?
You enter into a 9-month forward contract on a non-dividend paying stock when the stock price is £38 and the risk-free interest rate is 10% per annum (assume discrete compounding). Which of the below is closest to the no-arbitrage forward price? a. $40 b. $39 c. $41 d. $38
ff1
Current stock price for XYZ $50.00 Interestrate 3% Dividend rate 0% Option PUT PUT PUT PUT CALL CALL CALL CALL - Strike Expiration Option Price $30.00 6-months $40.00 6-months $50.00 6-months $50.75 6-months - $50.00 6-months $50.75 6-months $55.00 6-months $60.00 6-months $0.14 $0.77 $2.74 $2.97 $3.48 $2.97 $1.20 $0.15 Implied Vol 40% 32% 22% 21% 22% 21% 19% 15% Delta (AOption/AS) -0.023 -0.123 -0.431 -0.470 XYZ stock is currently trading at $50 per share. We ask our favourite trading desk to price a bunch of 6-month options on XYZ: 4 puts and 4 calls. The table above gives the information 0.569 0.530 0.299 0.065 For each option price we've run the price through the Black-Scholes formula and solved for implied volatility. The tables also gives the deltas: the derivative of each option price with respect to the stock price. As you know this means: Leave the implied volatility, the interest rate, and the dividend unchanged Change the current price of the stock by a small amount up and…
Please solve max please in 20 minutes and no reject thank u. Im needed please no reject
Calls Puts Close Hendreeks Strike Price Expiration Vol. Last Vol. Last 103 100 Feb 72 5.20 50 2.40 103 100 Mar 41 8.40 29 4.90 103 100 Apr 16 103 100 Jul 8 10.68 14.30 10 6.60 2 10.10 Suppose you buy 40 July 100 put option contracts. What is your maximum gain? On the expiration date, Hendreeks is selling for $86.40 per share. How much is your options investment worth? What is your net gain? (Do not round intermediate calculations.) Maximum gain Terminal value Net gain
Use the Black-Scholes formula to find the value of a call option on the following stock: Time to expiration Standard deviation Exercise price Stock price Annual interest rate Dividend Value of the Call Option 6 months 60% per year $57 $64 38 0
13 You purchased four call option contracts with a strike price of $25.20 and an option premium of $.84. You held the option until the expiration date. On the expiration date, the stock was selling for $22.50 a share. What is the total profit or loss on your option position? Skipped eBook Mc Graw Hill Multiple Choice O O O O O -$336 -$744 $1,416 $744 -$1,416
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Q7: TFS stock is eurrently trading at $17.25 per share. In 4 months it will either rise by 24.00% or fall by 20.00% with equal probability. A 4 month put option struck at $22.43 is trading at $2.59. The risk free rate is 5.50%. What is the expected profit or loss (at maturity) of the put option? A) $2.41 B) $1.32 C) $2.63 D) $1.87 E) $2.19

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