Question

Asked Nov 28, 2019

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A stock is selling today for $110. The stock has an annual volatility of 64 percent and the annual

risk-free rate is 7 percent.

c.

Calculate the fair price for a 1 year European put option with an exercise price of $95.

d. Calculate how much the current stock price would need to change for the purchaser of

the put option to break even in one year.

e. Calculate the level of volatility that would make a $95 call option sell for $30. (Use Goal

Seek or Solver).

f.

Calculate the level of volatility that would make a $95 put option sell for $8. (Use Goal

Seek or Solver).

Please show work using excel

Step 1

Hi there, Thanks for posting the question. But as per Q&A guidelines, we should answer the first quesiton, when multiple sub-parts given under single question. Hence, I have answered the Part C below. Please repost the question separately.

Step 2

Calculate the value of euro...

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