A stock price is currently 40 and has a volatility of 10% and a dividend yield of 2%. the risk-free rate is 7%. what is the value of an american six-month put option with a strike price of 42 using a two-step tree? a. $1.85 p. $1.96 -. $2.36 d. $2.75

Q: The stock price of Amazon is $50. The price of a 4-month European call option and a European put…

A: Put call parity is a relationship between call and put option price when there is no arbitrage…

Q: The current spot price of a stock is $100, the expected rate of return of the stock is 8%, and the…

A: Current spot price = $100 Expected rate of return = 8% Volatility = 5% Risk-free rate = 3% Time…

Q: С. DRISTA stock is now trading at RM45 per share on Bursa Malaysia. The risk-free rate is 7% and the…

A: Underpriced and Overpriced refers to the situation where the intrinsic worth of stock, derivative or…

Q: Suppose company B stock is last time traded at 68.23$, and our analysis shows that in one year from…

A: Stock Price =68.23 Upper Price = 68.23*1.25 = 85.29 Lower Price = 68.23*0.75 = 51.17 Risk Free Rate…

Q: A) If a firm has stock price of $52 and a required rate of return of 10% and earnings are expected…

A: Since you have asked multiple questions, we will solve the first question for you. If you want any…

Q: For a non-dividend paying stock with price S(t) at time t, you are given the followings: • The…

A: Stock Price = 80 Rate of return = 0.12 Volatility = 0.3

Q: The current price of a stock is ₱100 and has volatility (σ) of 0.25. The continuous risk free rate…

A: We will use risk neutral approach for binomial option pricing model for which we need to find the…

Q: A stock with a current price of $40 will either move up to $41 or down to $39 over the next period.…

A: given information   current price = $40  either it move up to = $41 or down to = $39 risk free rate…

Q: The current price of a non-dividend-paying stock is $100. The risk free interest rate is 1% per year…

A: Dividends are considered as returns to the shareholders after distributing profits. There's a…

Q: The stock price is currently trading at Php 50 and the annual stock price move factor is u=1.3 and…

A: Since there are multiple questions , We will solve 1st question for you as per prescribed policy .

Q: Suppose a non-dividend paying stock is trading at $175 per share and has a volatility of 45%. What…

A: Binomial Option pricing model is a tool which helps in valuing an option and as compred to Black…

Q: For a stock, you are given: i. The current stock price is 90 ii. The stock pays dividends…

A: Here, Current Stock Price is 90 Dividend Yield is 2% Stock Volatility is 20% Time Period is 9 months…

Q: A stock that pays no dividends is worth So = 50 curos today. The risk-free interest rate with…

A: The binomial options pricing model is used to find the price of the option when there is no clarity…

Q: The stock price of Amazon is $50. The price of a 4-month European call option and a European put…

A:

Q: Suppose a stock is currently selling for $50, its volatility is 30%, the continuous dividend yield…

A:

Q: 2) Suppose that the price of a non-dividend-paying stock is $32, its volatility is 30%, and the…

A: Put option: It is a derivative that gives buyer an option to sell the asset at pre-decided date…

Q: A stock is selling for R61, a 6-month put at R60 is selling for R1.70, a 6-month call at R60 is…

A: Here, Call Price (C0) is R2.20 Strike Price (X) is R60 Put Price (P0) is R1.70 Current Price (S0) is…

Q: 6. A stock price is currently at $20 and has a volatility of 20% p.a. The risk-free rate is 4% p.a.…

A: Given: Risk free rate = 4% Current stock price = $20 Volatility = 20% Strike price = $20 Years = 3

Q: The current price of a non-dividend-paying stock is $30. Over the next six months it is expected to…

A: Call option is a contract which gives buyer the right, but not an obligation to purchase the…

Q: The current price of a non-dividend-paying stock is $25. Over the next six months it is expected to…

A: The binomial option pricing model: The binomial option pricing model evaluates the option price at…

Q: A stock that does not pay dividend is trading at $40. A European call option with strike price of…

A: For a stock which does not pay a dividend, there is no worth in exercising the American Call option…

Q: 2

A: Black - scholes option pricing model is used to estimate the fair value cost of option under a given…

Q: Eagletron’s current stock price is $10. Suppose that over the current year, the stock price will…

A: Spot price(S0) = 10; Effective rate(r) = 25% = 0.25 Upper FSP  = (1+100%) x 10 = $20 Lower FSP…

Q: need help

A: Risk-free Rate = 5% or 0.05Expected Market Rate of Return = 20% or 0.2Beta = 1 Calculation of…

Q: Consider a stock with a current price of P = $27.Suppose that over the next 6 months the stockprice…

A: Call option is the financial contract in which buyer have a right to purchase or exchange the…

Q: Optival’s stock is currently trading at $60 per share with a historical volatility of 20%. The…

A: Given: Particulars   Spot price $60.00 Standard deviation 20% Risk free rate 4% Exercise…

Q: Assume the Black-Scholes framework for a stock. You are given: i) The current stock price is 40 ii)…

A: An option contract gives the right to its buyer to sell or buy the assets or securities at today’s…

Q: Consider a XYZ stock index spot price is 69 and 7-months forward price is 70. The continuously…

A: The spot and forward rates: The spot rates are the rates prevailing at the current time. Forward…

Q: The shares of DCB Bank are currently valued at $27 and they have a volatility of 28% pa. The risk…

A: Stock Price S  $…

Q: The level of the Syldavian market index is 21,600 at the start of the year and 26,100 at the end.…

A: Risk premium Investors expect higher returns on their investments to make up for the higher risks…

Q: Suppose the stock price is currently $75. For the next six months there is 7.5% probability that the…

A: Present value of call option using One period binomial model  In one period time, there is a chance…

Q: Jersey Jewel Mining has a beta coefficient of 1.3. Currently the risk-free rate is 2 percent and the…

A: Note: Since we only answer up to 3 sub-parts, we’ll answer the first 3. Please resubmit the question…

Q: stock  is  currently  priced  at  $40.  The  risk‐free  rate  of  interest  is  8%  p.a.  compounded…

A: Arbitrage opportunities are available when buying and selling same in two markets is done…

Q: A stock price is currently 40 and has a volatility of 25% and a dividend yield of 2%. the risk-free…

A: Given, Dividend yield =0.02 Volatility = 0.25 time = 6 month = 6/12 = 0.5 u = e0.250.5 = 0.9079d =…

Q: Suppose that a stock, APA, is currently trading at $99.50, and will pay a $1.01 dividend in two…

A: The question is based on the concept of put-call parity. Put-call parity explains the relationship…

Q: A stock index is currently 1,500. Its volatility is 18%. The risk-free rate is 4% per annum…

A: Given: Spot price = 1,500 Standard deviation = Volatility = 18% Risk free rate = 4% Dividend yield…

Q: he Moon company currently sells for 100 $. The annual stock price volatility is %10 and risk- free…

A: The question is based on  valuation of option by use of Black and Scholes model. Formula as:

Q: A 6-month Asian average strike call option on a nondividend paying stock based on the arithmetic ge…

A: Volatility = 30% Risk free rate = 0.04 or 4% Stock Price = 60  2 Period Binomial Period Time Period…

Q: 9. The current stock price of a company is $54.50, the continuous annual standard deviation was…

A: A mathematical model for the dynamics of a stock market comprising derivative investment instruments…

Q: What is the lower bound for the price of a 6 month American put option on a stock when the stock…

A: Given: Particulars Amount Stock price $15 Strike price $20 Risk free rate 5% Dividend $1

Q: A non-dividend-paying stock is currently selling for $50, and the risk-free rate of interest is 8%…

A: formula for forward price: F0=S0×er×twhere,S0=current stock pricer=risk free ratet= time in years

Q: The stock of Lead Zeppelin, a metal manufacturer, currently sells for $65 and has a volatility of 46…

A: Put options are contracts that provide option buyers the right to sell or sell the underlying…

Q: For a stock, you are given: i. The current stock price is 90 ii. The stock pays dividends…

A: Current Stock price is 90 Dividend yield is 2% Risk free rate is 100% Volatility is 20% Total number…