S3 Q12 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 ontinuously. Shares and options can only be bought and sold in whole numbers. This problem requires the Normal Probability Table. One day later, on June 5, 2020, the share price goes up to $152. Calculate the delta and price for the 145-call option on June 5, 2020.
S3 Q12 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 ontinuously. Shares and options can only be bought and sold in whole numbers. This problem requires the Normal Probability Table. One day later, on June 5, 2020, the share price goes up to $152. Calculate the delta and price for the 145-call option on June 5, 2020.
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
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S3 Q12
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 ontinuously. Shares and options can only be bought and sold in whole numbers.
This problem requires the Normal Probability Table.
One day later, on June 5, 2020, the share price goes up to $152. Calculate the delta and price for the 145-call option on June 5, 2020.
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