A call option has an exercise price of $65 and matures in 5 months. The current stock price is $73, and the risk-free rate is 6 percent per year, compounded continuously. What is the price of the call if the standard deviation of the stock is 0 percent per year? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Call price
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- Binomial Model The current price of a stock is 20. In 1 year, the price will be either 26 or 16. The annual risk-free rate is 5%. Find the price of a call option on the stock that has a strike price of 21 and that expires in 1 year. (Hint: Use daily compounding.)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 $32 and with 1 year until expiration has a current value of $6.56. What is the value of a put option written on the stock with the same exercise price and expiration date as the call option?You Consider a stock with a price of $50 that is expected to increase by 6% or decrease by 8% each month over the next two months. Having a risk-free rate at 3% per year with continuous compounding, calculate the value of a two-month Anmerican put option with a strike price of $55.
- Suppose Carol's stock price is currently $20. If the standard deviation of the continuously compounded returns (σ) on a stock is 60 percent per year. The annual risk-free rate is 12%, compounded every 6 months. A. Using one-step binomial tree, what is the current value of a six-month call option with an exercise price of $25?B. Using two-step binomial tree, what is the current value of a one-year put option with an exercise price of $25?The current price of a stock is $20, and at the end of one year its price will be either $22 or $18. The annual risk-free rate is 2.0% (use daily compounding with 365 days/year), based on daily compounding. A 1-year call option on the stock, with an exercise price of $19, is available. Based on the binominal model, what is the option's value?(Please Show Work)There is a European put option on a stock that expires in two months. The stock price is $93 and the standard deviation of the stock returns is 68 percent. The option has a strike price of $101 and the risk-free interest rate is an annual percentage rate of 7 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.)
- TreeOlivia's stock price is $180 and could halve or double in each six-month period. The interest rate is 12% a year. What is the value of a six-month call option on TreeOlivia with an exercise price of $120? What is the option delta for the six-month call with an exercise of $120? The payoffs of the six-month call option can be replicated by buying shares of stock and borrowing. What amount should be invested in stock and what amount must be borrowed? Assume the exercise price is $120. What is the value of the one-year call option on TreeOlivia with an exercise of $150? (Hint: use the two-step binominal tree) What is the value of the one-year put option on TreeOlivia with an exercise of $150?A stock is selling at INR 1,250. There exists a call option on this stock with expiry in 60 daysand an exercise price of INR 1,300. It is estimated that every 30 days, the stock price couldeither increase by 7% or decrease by 5%. The risk-free rate is 6%. Calculate the put price byusing the two-period binomial options pricing model.(Consider 360day-year)A call option has a strike price of 55, expires in 6 months, and has a price of $5.04. If the annual risk free rate is 5%, and the current stock price is $50, what should the corresponding put with the same exercise price and expiration date be worth?
- Suppose the stock price is $20 today. In the next six months it will either fall by 50 percent or rise by 50 percent. What is the current value of a call option with an exercise price of $15 and expiration of one year? The six-month risk-free interest rate is 10 percent (periodic rate). Use the two-stage binomial method. $7.86 $2.14 $8.23 $8.93Option has a strike price of $75 and expires 65 days from today. The return on a 65-day T-bill is 3.5% per year compounded continuously. G current stock price is $58 per share and the standard deviation of returns on NY is 46%. What is the value of this put option