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)

Since there are several questions, we will answer the first three subparts. Please repost the…

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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Similar questions

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.
The current price of a stock is $34, and the annual risk-free rate is 3%. A call option with a strike price of $32 and with 1 year until expiration has a current value of $6.12. 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.
You buy a share of stock, write a 1-year call option with X= $95, and buy a 1-year put option with X= $95. Your net outlay to establish the entire portfolio is $94. The stock pays no dividends. a. What is the payoff of your portfolio? Payoff b. What must be the risk-free interest rate? (Round your answer to 2 decimal places.) Risk-free rate
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?
A call option currently sells for $7.00. It has a strike price of $40 and five months to maturity. A put with the same strike and expiration date sells for $5.00. If the risk-free interest rate is 5 percent, what is the current stock price? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Current stock price
Use the Black-Scholes formula to find the value of a call option based on the following inputs. (Round your final answer to 2 decimal places. Do not round intermediate calculations.) Stock price Exercise price Interest rate Dividend yield Time to expiration Standard deviation of stock's returns Call value GA $ $ $ 48 60 0.07 0.04 0.50 0.26
Use the Black-Scholes formula to find the value of a call option based on the following inputs. Note: Do not round intermediate calculations. Round your final answer to 2 decimal places. Stock price Exercise price Interest rate Dividend yield Time to expiration Standard deviation of stock's returns Call value $ 54 $ 63 0.082 0.04 0.50 0.260
The stock price of Copious Corp. is currently $30. The stock price 1 year(s) from now will be either $34 or $27. The annual risk-free rate is 1.4%. Using the binomial model, what is the value of a call option with an exercise price of $30 and an expiration date 1 year(s) from now?
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?
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
A stock is currently priced at $52 and will move up by a factor of 1.14 or down by a factor of .90 each period over each of the next two periods. The risk-free rate of interest is 3 percent. What is the value of a put option with a strike price of $58? (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 $ 4.57
The current price of a stock is $33, and the annual risk-free rate is 4%. A call option with a strike price of $32 and with 1 year until expiration has a current value of $6.52. 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.

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