Q5. Consider a six-month European put option on a non- dividend-paying stock. The current stock price is $100 and the strike price is $105. The risk-free rate is 10% per annum with semiannual compounding. A lower bound for the price of the European put option is $ _ If the put option were an American put option, a lower bound would be $_ Q6. The price of a European call that expires in six months and has a strike price of $50 is $2. The current underlying stock price is $50, and a dividend of $2 is expected in three months from now. The risk-free interest rate is 10% per annum with quarterly compounding. For the same stock, what is the price of a European put option with the same maturity and strike price? $ Q7. Suppose that c1, c2, and c3 are the prices of European call options on a particular stock with strike prices K1, K2, and K3, respectively, and that p1, p2, and p3 are the prices of European put options on the same stock with strike prices K1, K2, and K3, respectively, where K 1<K2<K3 and K 2-K1=K3-K2.All options have the same maturity. Choose all the correct statement(s) among the followings. A. c 2<=(c1+c3)/2 B. c 2=(c1+c3)/2 C. c 2>=(c1+c3)/2 D. p 2<=(p1+p3)/2 E. p 2=(p1+p3)/2 F .p2>=(p1+p3)/2
Q5. Consider a six-month European put option on a non- dividend-paying stock. The current stock price is $100 and the strike price is $105. The risk-free rate is 10% per annum with semiannual compounding. A lower bound for the price of the European put option is $ _ If the put option were an American put option, a lower bound would be $_
Q6. The price of a European call that expires in six months and has a strike price of $50 is $2. The current underlying stock price is $50, and a dividend of $2 is expected in three months from now. The risk-free interest rate is 10% per annum with quarterly compounding. For the same stock, what is the price of a European put option with the same maturity and strike price? $
Q7. Suppose that c1, c2, and c3 are the prices of European call options on a particular stock with strike prices K1, K2, and K3, respectively, and that p1, p2, and p3 are the prices of European put options on the same stock with strike prices K1, K2, and K3, respectively, where K 1<K2<K3 and K 2-K1=K3-K2.All options have the same maturity. Choose all the correct statement(s) among the followings.
A. c 2<=(c1+c3)/2
B. c 2=(c1+c3)/2
C. c 2>=(c1+c3)/2
D. p 2<=(p1+p3)/2
E. p 2=(p1+p3)/2
F .p2>=(p1+p3)/2
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