Please answer the following questions. a. What is the annualized interest rate? (sample answer: 8.25%) b. What is the annualized standard deviation? c. What is the Call value? (sample answer: $7.65) d.What is the Put value? (sample answer: $7.65) e.If the stock price goes up by one dollar, how much will the call option change in price? 1.If the stock price goes up by one dollar, how much will the put option change in price?[ (sample answer: 8.25%) (sample answer: 0.55 or -0.55) (sample answer: 0.55 or -0.55)
Please answer the following questions. a. What is the annualized interest rate? (sample answer: 8.25%) b. What is the annualized standard deviation? c. What is the Call value? (sample answer: $7.65) d.What is the Put value? (sample answer: $7.65) e.If the stock price goes up by one dollar, how much will the call option change in price? 1.If the stock price goes up by one dollar, how much will the put option change in price?[ (sample answer: 8.25%) (sample answer: 0.55 or -0.55) (sample answer: 0.55 or -0.55)
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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It is a single question with six parts.....I need all six parts.....Don't attempt if you will not solve all six parts...
Transcribed Image Text:As a financial analyst at JPMorgan Chase investments, you are evaluating European call options and put options using Black Scholes model. Suppose
BMI's stock price is currently $65. The stock's standard deviation is 8% per month and the risk-free interest rate is 0.9% per month. The options with
exercise price of $66 matures in 120 days. To find the value of options and options delta, you went to the website www.optionseducation.org and found the
following information:
Call
Option Value 4.7540
Delta 0.5816
Gamma 0.0378
Theta -0.0265
Vega 0.1456
Rho0.1087
Call
Implied Volatility
Option Price
Put
3.4606
-0.4184
0.0378
-0.0078
0.1456
-0.1008
Vola %
0.00
Calculate
Transcribed Image Text:Please answer the following questions.
a. What is the annualized interest rate?
(sample answer: 8.25%)
b. What is the annualized standard deviation?
c. What is the Call value?
(sample answer: $7.65)
d.What is the Put value?
(sample answer: $7.65)
e.If the stock price goes up by one dollar, how much will the call option change in price?
1.If the stock price goes up by one dollar, how much will the put option change in price?
(sample answer: 8.25%)
(sample answer: 0.55 or -0.55)
(sample answer: 0.55 or -0.55)
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