Q7: TFS stock is currently 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

Q7: TFS stock is currently 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

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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the current price of a stock is $100. what is the black scholes model price of a six month call option at strike $90, given an interest rate of 5% ? the volatility is 40% a. $17.76 b. $10.00 c. $15.00 d. $5.54
S3 Q13 Today is June 4, 2020. Stock X is selling at $150 per share. The stock has a dividend yield of 5% per year. There is a call option with an August 18, 2020 expiration date and an exercise price of $145, with an implied volatility of 20%. The annual risk-free rate is 1%, compounded continuously. Shares and options can only be bought and sold in whole numbers. Requires use of normal probability table. Calculate the value of the delta-dedged portfolio on June 5, 2020 before rebalancing.
S3 Q13 Today is June 4, 2020. Stock X is selling at $150 per share. The stock has a dividend yield of 5% per year. There is a call option with an August 18, 2020 expiration date and an exercise price of $145, with an implied volatility of 20%. The annual risk-free rate is 1%, compounded continuously. Shares and options can only be bought and sold in whole numbers. Requires use of normal probability table - see image See image for June 5th data Calculate the value of the delta-dedged portfolio on June 5, 2020 before rebalancing.
9
Q5
Question 4. A stock that pays no dividends has price today of 100. In one year’s time the stock is worth 110 with probability 0.75 and 85 with probability 0.25. The one-year annually compounded interest rate is 5%. a) Calculate the forward price of the stock for a forward contract with maturity one year. b) Calculate the price of a one-year European put option with strike 100. c) Suppose you observe that the put option in part (b) has a market price of 4. Determine an arbitrage portfolio and calculate how much profit is generated at time T = 1 by this portfolio.
MCQ NEED FAST PLS On July 5, a stock index futures contract with expiration on December 20 settles at 357.24. On the same day, the spot index closes at 361.54. Assume that each index point is worth $1. The risk-free rate of interest is 1.5% per annum and the dividend yield on the spot index is 3.5% per annum (both rates are continuously compounded). Transaction costs are negligible. Then: O One cannot tell if there is an arbitrage opportunity or not, as we don't know what the spot price of the index will be at the expiration of the futures contract Go long the futures, short the spot, invest the proceeds and realize an arbitrage profit of $4.30 Go long the futures, short the spot, invest the proceeds and realize an arbitrage profit of $1.00 Go short the futures, borrow to long the spot and realize an arbitrage profit of $1.00 O The futures and the spot are fairly priced and, hence, there is no arbitrage opportunity
15. Find the implied volatility (to 2 decimals, for example, σ = 8.23%) of a Put option with a time to expiration of 11 months and a price of $6.13 2 The stock is currently trading at $47. The riskless rate is 2% per annum, and the strike/exercise price of the option is $50. 3 Hint: compute the Put price using the same formula as in exercise 4, as a function of the volatility σ. Then use Solver to change the volatility cell in order to obtain a price of $6.13 4 5 6 d1 = -0.0614997 7 d2 = 8 9 10 N(d1)= 11 N(d2)= 12 13 N(-d1)= 14 N(-d2)= 15 16 17 18 P = 27.41 19 So= 47 K= 50 r = 2% σ = 2.74% T= 0.91666667
S3 Q14 Today is June 4, 2020. Stock X is selling at $150 per share. The stock has a dividend yield of 5% per year. There is a call option with an August 18, 2020 expiration date and an exercise price of $145, with an implied volatility of 20%. The annual risk free rate is 1%, compounded continuously. Shares and options can only be bought and sold in whole numbers. Requires Normal Probability Table see image June 5th data see image What are the gains/losses on shares and call options on June 5, 2020? Waht is the net change in the portfolio value?
IBM stock currently sells for 64 dollars per share. The implied volatility equals 40.0. The risk - free rate of interest is 5.5 percent continuously compounded. What is the delta of a call option with strike price 69 and maturity 9 months? Group of answer choices 0.4702 0.0751 0.5319 0.2574
ff1
Mf2. Suppose you took a long position in a September T-bill futures priced at IMM index 95.5. What would be your profit or loss on the position if the price of a spot 91-day T-bill were trading at YTM of 5% at the September expiration?

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