90 We will use the binonial option pricing nodel to value the following put option on a stock.91 Time to expiration is one year. The current stock price is $209.00. The exercise price is $225.00.92 The risk-free rate is 4.00%.93 At expiration, the stock price can be either $245.00 or $195.00.9495 a. What is the put option delta?969798Option delta (round to 2 decimal places)99 b. What is the payoff of the perfect hedge portfolio with 1 option and some stock?100101102103104 c. What is the value of the put option today?105106107108 d. Should the put option be exercised early today? (yes/no)109 (answer check is not available)110Payoff at expiration (to nearest cent)Present value of payoff (to nearest cent)Value of put option (to nearest cent)

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We vill use the binonial option pricing nodel to value the following put option on a stock. Time to expiration is one year. The current stock price is $209.00. The exercise price is 225.00. The risk-free rate is 4.00%. At expiration, the stock price can be either $245.00 or $195.00. a. What is the put option delta? Option delta (round to 2 decimal places)| b. What is the payoff of the perfect hedge portfolio with 1 option and some stock? Payoff at expiration (to nearest cent) Present value of payoff (to nearest cent)

We vill use the binonial option pricing nodel to value the following put option on a stock. Time to expiration is one year. The current stock price is $209.00. The exercise price is 225.00. The risk-free rate is 4.00%. At expiration, the stock price can be either $245.00 or $195.00. a. What is the put option delta? Option delta (round to 2 decimal places)| b. What is the payoff of the perfect hedge portfolio with 1 option and some stock? Payoff at expiration (to nearest cent) Present value of payoff (to nearest cent)

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 call option with a current value of $6.20. A put option with a current value of $6.70. Both options written on the same stock and both with 1 year until expiration. The current price of the stock is $52.00 and the prevailing risk-free rate is 7.00%. What must be the striking price of either option?
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Give typing answer with explanation and conclusion 5. A European call option on Home Depot stock has a strike price of $160 and expires in 0.9 years. Home Depot stock has a current market price of $165.99 and the risk-free rate is 4%. What must be the minimum price of the option?
Suppose you buy a stock at $70 together with a put option with a strike of $70 and a premium of $5. Your minimum payoff at expiration is $_----
Assume a stock price of $31.18, risk-free rate of 3.6 percent, standard deviation of 44 percent, N(₁) value of .62789, and an N(d₂) value of .54232. What is the value of a three-month call option with a strike price of $30 given the Black-Scholes option pricing model? Question 9 options: $3.38 $3.99 $3.68 $1.76 $3.45
Which of the following call options on XYZ stock is most valuable? 1. Strike price = $ 40, 3 months to expiration 2. Strike price = $ 40, 3 months to expiration 3. Strike price = $ 50, 6 months to expiration 4. Strike price = $ 50, 6 months to expiration
Suppose the following for European options: Stock price $94 3-month call options with strike price $97 3-month put option with strike price $98 1-year risk-free rate is 3%. The put option is trading ot $5 and there is an identical call option that is trading for $4. The arbitrage gain that can be made is equal to: O a. $2.00 b. $0.27 Oc. $3.00 O d. $1.27 O e $227
2. What are the prices of a call option and a put option with the following characteristics? Stock price = $74Exercise price = $72Risk-free rate = 2.7% per year, compounded continuouslyMaturity = 4 monthsStandard deviation = 52% per year 3. Draw the payoff picture at expiration for a long position in a call option that has a premium of $1.25 and a strike price of $30. 4. Draw the payoff picture for a short position in the call option given in Problem 2.5. Draw the payoff picture at expiration for a long position in a put option that has a premium of $3.50 and a strike price of $80. 6. Draw the payoff picture for a short position in the put option given in Problem 4.please let me have it by mornin. Thank you.
You bought (that is, you are “long”) both a put option and a call option on Strockfoot stock with the same expiration date. The exercise price of the call option is $40 and the exercise price of the put option is $30. Carefully graph the payoff of the combination of options at expiration.
Put-Call Parity The current price of a stock is $33, and the annual risk-free rate is 6%. A call option with a strike price of $31 and with 1 year until expiration has a current value of $5.58. What is the value of a put option written on the stock with the same exercise price and expiration date as the call option? Do not round intermediate calculations. Round your answer to the nearest cent. $
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?
Use the Black-Scholes formula to find the value of the put option using the next data: Stock price: $5.03 Time to expiration: 176 days (365 days in a year) The volatility of a stock return: 65% per year Strike price: $5 Risk-free interest rate: 1% per year

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