There is a European put option on a stock that expires in two months. The stock price is $76 and the standard deviation of the stock returns is 58 percent. The option has a strike price of $84 and the risk-free interest rate is an annual percentage rate of 4.8 percent. What is the price of the put option today? Use a two-state model with one- month steps. (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Put value

There is a European put option on a stock that expires in two months. The stock price is $76 and the standard deviation of the stock returns is 58 percent. The option has a strike price of $84 and the risk-free interest rate is an annual percentage rate of 4.8 percent. What is the price of the put option today? Use a two-state model with one- month steps. (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Put value

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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A put option that expires in six months with an exercise price of $65 sells for $4.45. The stock is currently priced at $61, and the risk-free rate is 3.9 percent per year, compounded continuously. What is the price of a call option with the same exercise price? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Call price
Suppose you buy GM put for P3, which matures in two months with a strike price of P60. GM is currently trading at P62.75. If the stock price of GM falls to P57 on the expiration date of the option, the rate of return of your put is at what amount?
Determine the risk-neutral value for a European put option (for a FLB (First Local Bank) share) that expires in eight months. The strike price is R500 and the current price is R650. The interest rate is 11%, and the volatility of the security is 0.026. *DO NOT USE EXCEL OR ANY OTHER PLATFORM, SHOW STEP-BY-STEP CALCULATION
A stock price is currently $43 . It is known that at the end of one month it will be either $45 or $41 . The risk-free interest rate is 7% per annum with continuous compounding. What is the value of a one-month European call option with a strike price of $42 ?
A put option that expires in six months with an exercise price of $65 sells for $4.45. The stock is currently priced at $61, and the risk-free rate is 3.9 percent per year, compounded continuously. What is the price of a call option with the same exercise price? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) X Answer is complete but not entirely correct. Call price $ 1.68 X
Ringling Cycle’s stock price is now $20. You need to find the valueof a call option with a strike price of $22 that expires in 2 months.You want to use the binomial model with 2 periods (each period isa month). Your assistant has calculated that u = 1.1553, d = 0.8656,pu = 0.4838, and pd = 0.5095. Draw the binomial lattice for stockprices. What are the possible stock prices after 1 month? ($23.11or $17.31) After 2 months? ($26.69, $20, or $14.99) What are theoption’s possible payoffs at expiration? ($4.69, $0, or $0) Whatwill the option’s value be in 1 month if the stock goes up? ($2.27)What will the option’s value be in 1 month if the stock price goesdown? ($0) If each month is 1/12 of a year, what is the currentvalue of the option? ($1.10)
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You want to price an American Put option that is written on the stock of Shelby Ltd. The price of the stock is £20, the risk-free interest rate is 5%, the annualised volatility of the stock is 42% and the option expires in 5 months. Given that information, calculate the up-multiplier to be used in a nine-step binomial tree. Write your answer in decimal form with up to three decimal points Answer:
A stock price is currently $60. You predict that at the end of 6 months stock price will increase or decrease by 20%. The risk-free interest rate is 10% per annum with continuous compounding. What is the value of a 6-month European put option with a strike price of $60?
Give typing answer with explanation and conclusion The current stock price is $50. It is known that at the end of the next month it will be either $55 or $45. What is the delta of a one-month European put option with a strike price of $47? DO NOT USE CHAT GPT.
A call option is currently selling for $5.00. It has a strike price of $85 and ten months to maturity. A put option with the same strike price sells for $8.10. The risk-free rate is 4.6 percent and the stock will pay a dividend of $2.60 in three months. What is the current stock price? (Do not round intermediate calculations. Round your answer to 2 decimal places.)
A call option currently sells for $9.25. It has a strike price of $45 and six months to maturity. A put with the same strike and expiration date sells for $7.50. If the risk-free interest rate is 6.3 percent, what is the current stock price? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Current stock price

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