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A stock is currently $100. Over each of the next two six month periods it is annim with continuous compounding. What is the value of a one year European call option with a strike price of $90
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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.)The current price of a non-dividend paying stock is $100. Every three months, it is expected to go up or down by 9% or 5%, respectively. The risk-free rate is 4% per year with continuous compounding. Compute the price of a European call option with strike price $98 and maturity six months written on the stock.A stock price is currently $100. Over each of the next two three-month periods it is expected to go up by 8% or down by 7%. The risk-free interest rate is 5% per annum with continuous compounding. What is the value of a six-month European call option with a strike price of $95?
- The price of a stock is currently $20. Over each of the next two three-month periods, the stock can go up by 10% or down by 10%. The risk free interest rate is 12% per annum with continuous compounding. (a) What is the current value of a six-month European put option with a strike price of $22? (b) What is the current value of a six-month American put option with a strike price of $22?A company stock whose current price is $192 is expected to either increase to $242 or decrease to $185 over the next nine months with equal probability. Compute the price of a nine-month at-the-money European put option. Use the fact that the riskless rate is 3.3% per year with continuous compounding. Express your answer with two decimals.A stock price is currently $50. Over each of the next two 3-month periods it is expected to go up by 6% or down by 5%. The risk-free rate is 5% per annum with continuous compounding. What is the value of a six-month European call option with a strike price of $51?
- A stock price is currently $45. Over each of the next two three-month periods it is expected to go up by 15% or down by 15%. The risk-free interest rate is 8% per annum with continuous compounding. What is the value of a six-month European call option with a strike price of $42 today? What is the value of a six-month American put option with a strike price of $42 today?A 6-month European put option on a stock with a strike price $63 is selling for $2, the current stock price is $65, and the stock will pay a dividend of $0.51 in 3 months. The 3-month risk-free rate is 8% per annum with quarterly compounding, and the 6-month risk-free rate is 10% per annum with semiannual compounding. What is the price of a 6-month European call option on the stock with the same strike price?A stock price is currently $100. Over each of the next two three-month periods it is expected to increase by 10% or fall by 10%. Consider a six-month European put option with a strike price of $95. The risk-free interest rate is 8% per annum, compounded continuously. What is the value of the option if it is American?
- A stock price is currently $30. It is known that at the end of two months it will be either $33 or $27. The risk-free interest rate is 10% per annum with continuous compounding. What is the value of a two-month European put option with a strike price of $31?A stock price is currently $200. Over each of the next two six-month periods it is expected to go up by 20% or down by 20%. The risk-free interest rate is 5% per annum with continuous compounding.You are required to use two-step Binomial model to find the value of a one-year European put option with a strike price of $200.Suppose that initially a share price is £80 and each month thereafter either increases by 1% or decreases by 1%. Interest is compounded continuously at rate 6% per year. Calculate the no-arbitrage price of ten thousand European call options with strike price £98 and expiry date two years.