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?
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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?
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- 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?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?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 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 $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.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?
- The stock price is currently $100. 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. What is the value of a one-year European call option with a strike price of $100? What is the value of a one-year European put option with a strike price of $100? Verify that the European call and European put prices satisfy put-call parity.The current price of a stock is $30. Over each of the next two three-month periods it is expected to go up by 5% or down by 5%: The risk-free interest rate is 12% per annum with continuous compounding. What is the value of a six-months European put option with a strike price of $32? Please solve by hand and show all the steps of answer in order me to understand it at best :)A stock price is currently $50. Over each of the next two three-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? (Round your answer to the 4 decimal places) Consider the setting of the previous problem but now find the value of a six-month European put option with a strike price of $51. (Round your answer to the 4 decimal places)
- A stock price is currently $100. Over each of the next two six-month periods it is expected to go up by 10% or down by 10%. The risk-free interest rate is 8% per annum with continuous compounding. What is the value of a one-year European call option with a strike price of $100? What is the value of a one-year European put option with a strike price of $100? Verify that the European call and European put prices satisfy put–call parity.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 $90Consider a European call option on the S&P 500 that is two months from maturity. The currentvalue of the index is 930, the exercise price is 900, the risk-free interest rate is 8% per annum,and the volatility of the index is 20% per annum. Dividend yields of 0.2% and 0.3% are expectedin the first month and the second month, respectively. Calculate the call price