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.Calculate how much the current stock price would need to change for the purchaser of the put option to break even in one year.Calculate the level of volatility that would make a $95 call option sell for $30. (Use Goal Seek or Solver).Calculate the level of volatility that would make a $95 put option sell for $8. (Use Goal Seek or Solver).Please show work in excel.

1.Calculate the current stock price as follows:

Answered: A stock is selling today for $110. The…

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 25P

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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.

Calculate how much the current stock price would need to change for the purchaser of the put option to break even in one year.
Calculate the level of volatility that would make a $95 call option sell for $30. (Use Goal Seek or Solver).
Calculate the level of volatility that would make a $95 put option sell for $8. (Use Goal Seek or Solver).

Please show work in excel.

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