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

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

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

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Consider a call option on one share of BP with a strike price of $70 and exercise time 1 quarter (3 months). Suppose the current stock price for BP is S(0) = $65 per share. Suppose further that A(0) = $100, A(1) = $102 and two possible prices for S(1) are S $74 with probability 0.5, S(1) = $66 with probability 0.5. Evaluate the expected returns E(Ks) and E(Kc) for the stock and the option.
The current price of a non-dividend-paying stock is $40. Over the next year it is expected to rise to $44 or fall to $36. An investor buys put options with a strike price of $41. What is the price of each option? The risk-free interest rate is 2% per annum (assume discrete compounding). a. $2.35 b. $1.76 c. $2.18 d. $1.96
IBM stock currently sells for 84 dollars per share. Over 8 months the price will either go up by 7.5 percent or down by -3.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. A call option with strike price 83 and maturity of 8 months has a delta of 0.82766. What is the value of this call option? 0.62579 O2.6708 O4.0788 2.9324 O4.3788
Generic Stock Inc. (GS) is trading at $100. A call option with a strike price of $102, which expires in 6 months, costs $9.52 (assuming a risk - free rate of 5% and a volatility of 0.33). What is the Delta of this option
What is the value of a put option if the underlying stock price is $47, the strike price is $40, the underlying stock volatility is 52 percent, and the risk-free rate is 5.5 percent? Assume the option has 150 days to expiration. (Use 365 days in a year. Do not round intermediate calculations. Round your answer to 2 decimal places.) X Answer is complete but not entirely correct. Value of a put option $ 7.00
D3)
D6) You use the Black Scholes model to price a Call option on a stock with discrete dividends. The dividends will be given in months 1, 5, and 9, each 3 USD. The current value of the stock is 105 USD, the strike price is 90 USD, the continuously compounded annual risk-free rate is 0.05, the volatility is 0.08, the time to maturity is 12 months. Calculate the price of the option.
Suppose that an American put option with a strike price of $70.0 and maturity of 4.0 months costs $13.2. The underlying stock price equals 55. The continuously compounded risk-free rate is 8.5 percent per year. What is the potential arbitrage profit from buying a put option on one share of stock? 1.9783 no arbitrage profit available 3.8117 4.2693 1.80
A stock is currently selling for $39. In one period, the stock will move up by a factor of 1.29 or down by a factor of .53. A call option with a strike price of $50 is available. If the risk-free rate of interest is 2.5 percent for this period, what is the value of the call option?
Suppose the 6-month Mini S&P 500 futures price is 1,168.44, while the cash price is 1,150.55. What is the implied dividend yield on the S&P 500 if the risk-free interest rate is 4.3 percent? (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places.) Implied dividend yield %

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