Please calculate the price of a put option that matures in 2 months with a strike price of $58. Assume the risk free rate is3%/month.50Month 1A. 7.29B.1.07OC.11.3OD.O62.545Month 278.12556.2540.5

The binomial model is commonly used in the fields of finance, probability theory, and statistics In…

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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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D3) Finance What is the current minimum possible value of an American put whose exercise price is 27 if the current price of the stock is 26.4. (the annual rate of interest is 24% and option’s remaining time to maturity is one month)
Assume a stock price of $30.25, risk-free rate of 1 percent, standard deviation of 40 percent, N(d1) value of 0.7976, and an N(d2) value of 0.7089. What is the value of a six-month put with a strike price of $25 given the Black-Scholes option pricing model (rounded to the nearest cent)? $6.49 $0.83 $2.43 $1.12 None of the above are correct.
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
Suppose ABC's stock price is currently $25. In the next six months it will either fall to $15 or rise to $40. What is the current value of a six-month call option with an exercise price of $20? The six-month risk-free interest rate is 5% (periodic rate). [Use the riskneutral valuation method]A. $20.00 B. $8.57 C. $9.52 D. $13.10
23.10 What are the prices of a call option and a put option with the following characteristics? Stock price = $46  Exercise price = $50  Risk-free rate = 6% per year, compounded continuously Maturity = 3 months Standard deviation = 54% per year
Company RJay RJay Sell-Mart Xenon Time to Expiration (months) Company RJay RJay Sell-Mart Xenon 1 $ 2 5 6 Time to Expiration (months) 1 2 5 6 Strike $ 60 70 60 7.50 Strike $ b. Now assume that the effective annual interest rate is 6.70%, which corresponds to a monthly interest rate of 0.54%. Calculate the present value of each call option's exercise price and the adjusted intrinsic value for each call option. (Do not round your intermediate calculations and round your final answers to 2 decimal places.) So 60 $ 70 60 7.50 62.92 62.84 69.80 6.78 So Intrinsic Value $ 62.92 62.84 69.80 6.78 2.92 0.00 9.80 0.00 PV(X) Adjusted Intrinsic Value
Can you please help with the question in the picture attached? The answer should be only one and I’m quite confused. Thank you!
Assume a stock price of $31.18, risk-free rate of 3.6 percent, standard deviation of 44 percent, N(₁) value of .62789, and an N(d₂) value of .54232. What is the value of a three-month call option with a strike price of $30 given the Black-Scholes option pricing model? Question 9 options: $3.38 $3.99 $3.68 $1.76 $3.45
The 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)
Put–call parity (S21-1) It is possible to buy three-month call options and three-month puts on stock Q. Both options have an exercise price of $60 and both are worth $10. If the interest rate is 5% a year, what is the stock price?
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.
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 is the exercise price. A stock price is currently $54. It is known that at the end of one year it will be either $60 or $50. The risk-free rate of interest with continuous compounding is 8% per annum. Calculate the value of a one year power call option with an exercise price of $55. a. What is the delta of the power call option? (sample answer: 1.55 or 0.55)b. What is the risk neutral probability of up movement? (sample answer: 55.50%)c. What is the value of the power option? (sample answer: $15.50)

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Please 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 Month 2 78.125 56.25 40.5