Suppose XYZ is a non-dividend-paying stock. Suppose S = $100, σ = 40%, δ = 0, and r = 0.06. What is the price of a 105-strike call option with 1 year to expiration? What is the 1-year forward price for the stock? What is the price of a 1-year 105-strike option, where the underlying asset is a futures contract maturing at the same time as the option?
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Suppose XYZ is a non-dividend-paying stock. Suppose S = $100, σ = 40%, δ = 0, and r = 0.06.
- What is the price of a 105-strike call option with 1 year to expiration?
- What is the 1-year forward price for the stock?
- What is the price of a 1-year 105-strike option, where the underlying asset is a futures contract maturing at the same time as the option?
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- Suppose that the current price of Roblox Corporation common stock is (RBLX) is $100. If the price of RBLX will be either $150 or $50 one year from now, what is the price of a call option with a strike price of $120 expiring one year from now? Assume that the current risk free rate is 1%. What is the risk neutral probability of the stock being $150 one year from now?Let us consider a covered call strategy. Suppose the call premium is 7, with the exercise price of 100. The underlying stock price at expiration is 100. The stock price of today is 122. What is the maximum loss this strategy might end up with at the date of expiration?Suppose a one-year European put option on a stock has an exercise price of $30 and oneyear European call option on the same stock has the same exercise price of $30. The call is worth 3$ and the put is worth 2$. If the one-year interest rate is 1.5%, what is the price of the underlying stock, assuming no arbitrage opportunity?
- The value of an option is $3.16, its vega is 0.7. What will be the expected price of the option if the volatility of the underlying stock increases by $0.8?Consider a put option whose underlying asset is a stock index with 6 months to expiration and a strike price of $1000. Suppose the risk-free interest rate for the six months is 2% and that the option’s premium is $74.20. (a) Find the future premium value in six months. (b) What is the buyer’s profit is the index spot price is $1100? (c) What is the buyer’s profit is the index spot price is $900 Only typed answerYou buy a share of stock, write a 1-year call option with X= $95, and buy a 1-year put option with X= $95. Your net outlay to establish the entire portfolio is $94. The stock pays no dividends. a. What is the payoff of your portfolio? Payoff b. What must be the risk-free interest rate? (Round your answer to 2 decimal places.) Risk-free rate
- The value of an option is $6.24, its delta is 0.5, and the price for the underlying stock is $82. What will be the expected price of an option be if the price for the underlying stock drops to $80.50?The value of an option is $5.64, its theta is 0.03. What will be the expected price of the option on the following day if the price of the underlying stock does not change?Suppose that you purchased a call option on the S&P 100 Index. The option has an exercise price of 1,680, and the index is now at 1,720. What will happen when you exercise the option?
- If a particular stock does not pay dividends and is currently priced at $24 per share, what should be the price of a call option with a maturity of one year and a strike price of $24.5 if put options with the same features currently cost $2? Assume a risk free rate of 2%. (use 5 decimal places)Use the Black-Scholes formula to find the value of a call option based on the following inputs. (Round your final answer to 2 decimal places. Do not round intermediate calculations.) Stock price Exercise price Interest rate Dividend yield Time to expiration Standard deviation of stock's returns Call value GA $ $ $ 48 60 0.07 0.04 0.50 0.26Consider a European call option on a non-dividend-paying stock where the stock price is $33, the strike price is $36, the risk-free rate is 6% per annum, the volatility is 25% per annum and the time to maturity is 6 months. (a) Calculate u and d for a one-step binomial tree. (b) Value the option using a non arbitrage argument. (c) Assume that the option is a put instead of a call. Value the option using the risk neutral approach. (d) Verify that the European call and European put prices found in (b) and (c) satisfy the put-call parity.