Use the Black-Scholes formula to value the following options: A call option written on a stock selling for $77 per share with a $77 exercise price. The stock's standard deviation is 7% per month. The option matures in three months. The risk-free interest rate is 1.50% per month. A put option written on the same stock at the same time, with the same exercise price and expiration date. Please calculate a call value, and b - put value.

Use the Black-Scholes formula to value the following options: A call option written on a stock selling for $77 per share with a $77 exercise price. The stock's standard deviation is 7% per month. The option matures in three months. The risk-free interest rate is 1.50% per month. A put option written on the same stock at the same time, with the same exercise price and expiration date. Please calculate a call value, and b - 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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Suppose that a call option with a strike price of $48 expires in one year and has a current market price of $5.17. The market price of the underlying stock is $46.25, and the risk-free rate is 1%. Use put-call parity to calculate the price of a put option on the same underlying stock with a strike of $48 and an expiration of one year. The price of a put option on the same underlying stock with a strike of $48 and an expiration of one year is $. (Round to the nearest cent.)
Use the Black-Scholes formula to value the following options a. A call option written on a stock selling for $78 per share with a $78 exercise price. The stock's standard deviation is 8% per month The option matures in three months. The risk-free interest rate is 1.75% per month. (Do not round intermediate calculations. Round your answer to 2 decimal places.) Call value ces b. A put option written on the same stock at the same time, with the same exercise price and expiration date. (Do not round Intermediate calculations. Round your answer to 2 decimal places.) Put value
Please answer the five questions below. You may attach a spreadsheet or enter the answers in this box 1. A one year call option has a strike price of 50, expires in 6 months, and has a price of $4.74. if the risk free rate is 3%, and the current stock price is $45, what should the corresponding put be worth?
Consider an American Put option with time to expiry of 5 months and a strike price of 82. The current price of the underlying stock is 80. Divide the time to expiry into five 1-month intervals. In each interval, the stock price can either rise by 6, or fall by 6, with unknown probability. The risk-free rate is 4.2% per annum, continuously compounded. What is the value of the option. Please provide necessary calculations.
You are given the following information concerning options on a particular stock: Stock price= Exercise price= Risk-free rate= Maturity= Standard deviation= $83 Intrinsic value=$ $80 6% per year, compounded continuously 6 months 47% per year (a)What is the intrinsic value of the call option? (Please keep two digits after the decimal point.) (b)What is the time premium of the call option? (Please keep two digits after the decimal point.) Time premium of the call option=$
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 answer
A call option is currently selling for $5.2. It has a strike price of $40 and five months to maturity. The current stock price is $42, and the risk-free rate is 5.4 percent. The stock will pay a dividend of $1.5 in two months. What is the price of a put option with the same exercise price? (Round your answer to 2 decimal places. Omit the "$" sign in your response.) Price of a put option
A put option is currently selling for $5.8. It has a strike price of $65 and seven months to maturity. The current stock price is $71. The risk-free rate is 4.8 percent, and the stock will pay a $3.1 dividend in two months. What is the price of a call option with the same strike price? (Round your answer to 2 decimal places. Omit the "$" sign in your response.) Price of a call option
A call option is currently selling for $4.60. It has a strike price of $60 and three months to maturity. A put option with the same strike price sells for $7.20. The risk-free rate is 6 percent and the stock will pay a dividend of $2.10 in three months. What is the current stock price?
Consider an American Put option with time to expiry of 5 months and a strike price of 82. The current price of the underlying stock is 80. Divide the time to expiry into five 1-month intervals. In each interval, the stock price can either rise by 6, or fall by 6, with unknown probability. The risk-free rate is 4.2% per annum, continuously compounded. Use Binomial Model. What is the value of the option. Provide all necessary calculations.
Consider an American Put option with time to expiry of 5 months and a strike price of 82. The current price of the underlying stock is 80. Divide the time to expiry into five 1-month intervals. In each interval, the stock price can either rise by 6, or fall by 6, with unknown probability. The risk-free rate is 4.2% per annum, continuously compounded. Use Binomial Model. What is the value of the option. Please provide necessary calculations.
A call option is the right to buy stock at $50 a share. Currently the option has six months to expiration, the volatility of the stock (standard deviation) is 0.30, and the rate of interest is 10 percent. A) What is the value of the option according to the Black-Scholes model if the price of the stock is $45, $50, or $55? B) What is the value of the option when the price of the stock is $50 and the option expires in six months, three months, or one month? C) What is the value of the option when the price of the stock is $50 and the interest rate is 5 percent, 10 percent, or 15 percent?

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