Answered: value of delta of a 3 month European…

Business

Finance

value of delta of a 3 month European put option on the stock

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter20: Financing With Derivatives

Section20.A: The Black-scholes Option Pricing Model

Problem 1P

See similar textbooks

Related questions

Q: A stock price is currently £10. It is known that at the end of the month l be either £15 or £9. We…

A: Stock Price £ 10 Risk-Free Rate 0% Strike £13 Up £15 Down £9

Q: A stock, priced at $ 100 at spot(t = 0), can go up to $ 120 or down to $ 90 next month following a…

A: Please note that the european options do not have any value in between the nodes of the binomial…

Q: Consider a call option on Stock X. The call expires in 7 months and has a strike price X=$22. The…

A: A call option is an option in which the buyer has the choice but not the obligation to buy the…

Q: You are given the following information. S=50, X=50, simple annual risk-free interest rate is 5%,…

A: time period =12monthsMonthly Risk-free interest rate=5%/12Stock price (S) = 50 Excercise Price (X) =…

Q: (a) Calculate u, d, and p for a two-step tree. (b) Value the option using a two-step tree.

A: Binomial Option Pricing is one of the methods to evaluation the option price. In this method option…

Q: and the strike price is $80. Currently, the price of XYZ stock is $65. The 3-month in compounded) is…

A: Call options are derivative products that gives the opportunity buy stock on expiration but there is…

Q: I, what is the option's value?

A: Here,Current Price = $22Up movement = $29Down movement = $15Annual risk-free interest rate =…

Q: A put option will mature in six months. The standard deviation of the underlying stock returns is…

A: The Black-Scholes model is a mathematical formula used to calculate the fair price or theoretical…

Q: The stock price of BellsNWhistles is currently trading at $120. Over each of the next two six-month…

A: The binomial model is a discrete, step-by-step approach used in finance to find out the option…

Q: Suppose that a stock price is currently 35 dollars, and it is known that four months from now, the…

A: A European Call option is a financial contract that gives the holder the right, but not the…

Q: A stock price is currently $40. It is known that at the end of three months it will be either $48 or…

A: An American put option is a type of financial derivative contract that gives the holder (buyer) the…

Q: XYZ Corporation will pay a $2 per share dividend in two months. Its stock price currently is $80 per…

A: A call option is a financial contract that, before or on a designated expiration date, grants the…

Q: A 6-month European put option on a stock with a strike price $63 is selling for $2, the current…

A: A financial concept known as "Put-Call Parity" states that there should be no chance of arbitrage…

Q: XYZ stock is currently traded at $40. Consider a put option on XYZ with $38 exercise price expiring…

A: Put option is share market strategy under which investor will not buy or sell the share. Under…

Q: A stock price is currently $50. It is known that at the end of six months it will be either $46 or…

A: The question is based on calculation value of European put option by by use of binomial pricing…

Q: What are the prices of a call option and a put option with the following characteristics? Stock…

A: Here,

Q: e current price of YBM stock S is $55. At-the-money European options with a strike price K = S and…

A: Put call parity is the basic equation in determining the price of option so that no arbitrage…

Q: 1. One-step binomial model. A stock price is currently 100$. It is known that at the end of three…

A: Risk neutral probabilities are given by Uptick probability = P = (A - d)/(u - d) q = downtick…

Q: The current stock price of KLMCO iNC is $111.00. You expect the stock price a year from now to be…

A: given data current stock price = $111.00 high price expected = $128.00 low price expected = $92.00…

Q: The price of a stock is currently $20. Over each of the next two three-month periods, the stock can…

A: a)> A European put option with a strike price of $22 and a term of six months is worth $1.71…

Q: Consider an American Put option with time to expiry of 5 months and a strike price of 82. The…

A: The binomial model is a mathematical model used in finance to value options. It assumes that the…

Q: You observe the price of a European put option that expires in nine months and has a strike price of…

A: We will use the put-call parity to calculate the value of the call and thereafter we will find…

Q: Calculate the price of the the call option

A: We can determine the price of the call option using the Black Scholes Option Pricing Model. A call…

Q: he stock price of Copious Corp. is currently $31. The stock price 2 year(s) from now will be either…

A: A call option is a derivative instrument which allows the buyer to exercise the right to acquire the…

Q: A stock price is currently 50 and after 6-months it can be either 60 or 42. The risk-free rate is…

A: Here,StockPrice is $50Risk Free Rate is 12% continous compoundingTime Period is 6 monthsStock Price…

Q: Optival’s stock is currently trading at $60 per share with a historical volatility of 20%. The…

A: Given: Particulars Spot price $60.00 Standard deviation 20% Risk free rate 4% Exercise…

Q: A stock price is currently $80. It is known that at the end of four months it will be either $75 or…

A: Options are derivatives, whose values are derived from the value of an underlying asset. There are…

Question

Stock price is $52. It is known that at the end of 6 months it will be $59 or $44.50. Risk-free rate of interest with cont. compounding is 9% per annum. What is the value of delta of a 3 month European put option on the stock with an exercise price of $46?

Expert Solution

This question has been solved!

Explore an expertly crafted, step-by-step solution for a thorough understanding of key concepts.

This is a popular solution!

SEE SOLUTION Check out a sample Q&A here

Step 1

VIEW

Step 2

VIEW

Trending now

This is a popular solution!

Step by step

Solved in 2 steps with 2 images

SEE SOLUTION Check out a sample Q&A here

Knowledge Booster

Learn more about

Need a deep-dive on the concept behind this application? Look no further. Learn more about this topic, finance and related others by exploring similar questions and additional content below.

Similar questions

The stock price five months from the expiration of an option is $42, the exercise price of the option is $40, the continuously compounded risk-free interest rate is 11% per annum, and the volatility (o) is 21% per annum. Calculate the price of the option if it is a European call. Calculate the price of the option if it is a European put. 1. а. b.
A European put option on a non-dividend paying stock has strike price of $40 and time to maturity 9 months. Assume the risk-free interest rate is 5% per annum, the volatility is 20% per annum and the current stock price is $38. Using the Black-Scholes model, calculate the price of the European put option.
The stock price 6 months from the expiration of an option is $42, the exercise price of the option is $40, the risk-free rate is 10% per annum, and the volatility is 20% per annum. a) What is the price on a European call? b) What is the price of a European put? c) Check the put-call parity is satisfied.
Please show all steps
A stock price is currently $40. It is known that at the end of three months it will be either $44 or $36. The risk - free rate of interest with continuous compounding is 8% per annum. Calculate the value of a three-month European call option on the stock with an exercise price of $39. Verify that no - arbitrage arguments and risk - neutral valuation arguments give the same answers.
A stock price is currently $50. It is known that at the end of the 6 month it will be either $55 or $65. The risk free interest rate is 10%pa with continuous compounding what is the value of 6 month European put option with strike price $50 ?
The price of a (non-dividend-paying) stock is $100 and the price of a 3-month European put option on the stock with a strike price of $100 is $5. The risk-free rate is 6% per annum. What is the price of a 3-month European call option with a strike price of $100?
A stock price is currently $51.50. It is known that at the end of sixmonths it will be either $55 or $45. The risk - free interest rate is 10% per annum with continuous compounding. What is the value of asix-month European put option with a strike price of $50?
Calculate the price of a three-month European put option on a non-dividend-paying stock with a strike price of $50 when the current stock price is $50, the risk-free interest rate is 10% per annum, and the volatility is 30% per annum.
The market price of JS stock is currently $30. It is known that at the end of three months it will be either $33 or $27. The risk-free interest rate is 8% per annum with continuous compounding. (a) Use a one-step binomial tree to calculate the value of a three-month European put option on the JS stock with a strike price of $31? Use no-arbitrage arguments (you need to show how to set up the riskless portfolio). (b) Use the same one-step binomial tree and your results from (a) to determine the price of a three-month American put option on the JS stock with a strike price of $31
A stock price is currently $ 100. Over the next two six-month periods it is expected to go up by 10% or go down by 10%. The risk-free interest rate is 8% per annum with continuous compounding. (i) What is the value of a one-year European call option with a strike price of $ 100. (ii) What is the value of a one-year European put option with a strike price of $ 100. (iii) Verify that the European call and the European put satisfy put-call parity.
The current price of a non-dividend paying stock is $30. Use a two -step tree to value a European call option on the stock with a strike price of $32 that expires in 6 months. Each step is 3 months, the risk free rate is 8% per annum with continuous compounding. What is the option price when the volatility is 20%? (Hint: Calculate u and d using the CRR approach.) A. $1.48 B. $1.08 C. $1.68 D. $1.28