a) what is the price of a $35 strike call? Assume S=$38.50, σ =0.25, r=0.06, the stock pays no dividend and the option expires in 45 days.

Q: A stock sells P110. A call option on the stock with an exercise price of P105 and expires in 43…

A: Option is a contract which provides a right to option buyer to purchase or sell the underlying asset…

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

A: Binomial pricing is a valuation techniques used for options and has certain assumptions. It is much…

Q: The price of Stock Y, which is currently $80, can go to $120, $90, or $60 in 6 months’ time.…

A: Assume that P1, P2, and P3 are the probabilities that the price of the stock increases upto $120,…

Q: A stock is currently selling for $22.00 per share. Ignoring interest, determine the intrinsic value…

A: Call option gives option buyer the right to by the Stock at a strike price at a specified time in…

Q: The options on the stock of the Petronas Gas Berhad have the following input values: Stock price…

A: Given: Particulars   Current stock price 55.00 Standard deviation 33% Risk free rate 12.00%…

Q: Need help

A: Calculation of Risk-Free Rate:The risk-free rate is 4.87%.Excel Spreadsheet:

Q: You own a call option on UBS shares. The call has three months to maturity and has a strike which…

A: Financial options are the instruments that are used for the purpose of hedging or mitigating the…

Q: A trader shorts futures contract to sell 4,000 stocks for $4.50 per stock. The initial margin is…

A: When a future contract is bought or sold, a trader is asked to keep margin balance of the total…

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

A: Risk neutral probability to move up for one period P = (e ^(r*T) - d) / (u-d) Where, u =36/30 or 1.2…

Q: The current market price of a share of a stock is $58.33. Both call and put options on this stock…

A: Current market price = $58.33 Strike price = $70

Q: A stock has a required return of 7%, the risk-free rate is 2.5%, and the market risk premium is 3%.…

A: Required rate of return as per CAPM  :— Expected Return = Rf + (Rm - Rf) beta of the…

Q: a) What is the price of a $35 strike call? Assume S = $38.50, σ = 0.25, r = 0.06, the stock pays no…

A: Due to uncertain future factors, risk of security prices is rises. To avoid this risk, put and call…

Q: Suppose a trader buys a stock at $70, buys a put option on the same stock with strike X at a price…

A: In trader have long position on stock and long positions on put. Traders make profit on long…

Q: of a $35 strike call? Assume S = $38.50, = 0.25, r = 0.06, the stock pays no dividend andthe option…

A: When a derivatives contract is exercised, the strike value is the cost at which it could be…

Q: A PUT and a CALL option are written on a stock with a strike price of $60. The options are held…

A: Strike price = $60 Spot Price = $75 Call Premium = $16

Q: A. What is the price of a $30 strike put? Assume S = $28.50, σ = 0.32, r = 0.04, the stock pays a…

A: A. Answer = $2.75 Solution: As per Black Scholes model Value of put option: P =…

Q: you observe a premium of $4.49 for a call option on Birdwell enterprises common stock which is…

A: Call option premium is $4.49 Current trading price is $50 Strike price is $51 Time period to…

Q: A stock has a required return of 16%, the risk-free rate is 4%, and the market risk premium is 6%.…

A: a) As per CAPM, required rate of return = risk free rate + (beta * market risk premium)

Q: . A stock has an initial value of $7, and can go up by 1.2 or down by 0.7, the risk free rate is…

A: PInitial Value is $7 UP move is 1.2 Down move is of 0.7 Total periods 3 Exercise price is 0.13% Risk…

Q: Assume the Black-Scholes framework holds. Consider an option on a stock. You are given the following…

A: Here, Stock Price is 50 Option Price is 3.00 Option Delta is 0.611 Option Gamma is 0.020 Option…

Q: Assume that the current price of a stock is S0 = 100. An investor holds long one European put option…

A: An investor has bought put option and investor has sold call option. So, overall position of the…

Q: You buy a share of stock, write a 1-year call option with X= $65, and buy a 1-year put option with…

A: Risk free interest rate is minimum and guaranteed rate which investor get during the life of the…

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

A: Down rate in derivative is subject to fluctuation detrimentally subject to volatility  with expected…

Q: A PUT and a CALL option are written on a stock with a strike price of $60. The options are held…

A: Put option: This option gives the right to the holder to sell the assets at a specific price and…

Q: what is the delta on a $20 strike call? Assume S= $22.00, σ=0.30, r= 0.05, the stock pays a 1.0%…

A: Call Option is derivative contract that gives holder a right to purchase asset at predetermined…

Q: The risk-free rate is 1.13% and the market risk premium is 6.26%. A stock with a β of 0.84 will have…

A: Given: Risk free rate = 1.13% market risk premium = 6.26% Beta = 0.84

Q: You buy a share of stock, write a 1-year call option with X = $10, and buy a 1-year put option with…

A: a) Payoff table:

Q: What is the price of $60 strike put? Assume S=$63.75, σ=0.20, r=0.055,the stock pays no dividend and…

A: The answer is as fallows

Q: need help on both

A: Spot Price = $54Put Option Price = $0.70Call Option Price = $0.70Selling Strike Price = $62…

Q: The stock price of BAC is currently $150 and a put option with strike price of $150 is $10. A trader…

A: Here, Current Price is $150 Strike Price is $150 Premium is $10 Strategies:- 1. 300 Shares of BAC 2.…

Q: What is the price of a $25 strike call? Assume S = $23.50, σ = 0.24, r = 0.055, the stock pays a…

A: S = $23.50 σ = 0.24 r = 0.055 Continuous dividend= 2.5%  Time duration of expiration= 45 days

Q: Use the Black-Scholes formula to find the value of a call option based on the following inputs. (Do…

A: Call option Valuation using Black- scholes  model Facts Stock price   = 54 Exercise price = 63 Rate…

Q: A call option on a stock has a delta of 0.3. A trader has sold 1,000 options. What position such as…

A: Since the trader had sold 1000 call options, to hedge the position, it should buy the shares.

Q: Suppose a non-dividend paying stock is trading at $175 per share and has a volatility of 20%. What…

A: Decision: Exercise: When future price is greater than strike price. Lapse: when future price is less…

Q: PUT and a CALL option are written on a stock with a strike price of $60. The options are held until…

A: Put option believe that prices will go down and there will be profit on put if prices goes down.

Q: 3.  A stock sells for $110.  A call option on the stock has an exercise price of $105 and expires in…

A: Black-Scholes Model Black-Scholes is a pricing model that uses six factors, including, strike price,…

Q: A) What is the price of a $60 strike put? Assume S = $63.75, σ = 0.20, r = 0.055, the stock pays no…

A: Using the Black - Scholes formula

Q: A PUT and a CALL option are written on a stock with a strike price of $60. The options are held…

A: Call option is a derivative contract that gives the buyer the right but not the obligation to buy…

Q: 2. The current market price of a share of AT&T stock is $50. If a call option on this stock has a…

A: In case of Call option: If Underlying Asset price > call strike Price, then call option is in…

Q: The risk-free rate is 2.5%. And the AAP Corporation currently trades at $200. Ignore transaction…

A: Given,  The risk free rate is 2.5% Spot price is $200 Strike price is $220

Q: A PUT and a CALL option are written on a stock with a strike price of $60. The options are held…

A: Note: I am supposed to provide the solution to the question first only. Please repost the remaining…

Q: What is the price of a $35 strike call? Assume S = $38.50, σ = 0.25, r = 0.06, the stock pays no…

A: Using the black Scholes formula

Q: what is the price of a $30 strike put? Assume S= $28.50, σ= 0.32, r= 0.04, the stock pays a 1.0%…

A: In the given question we require to calculate the value of Put option. We can calculate the price of…

Q: A non – dividend – paying stock with a current price of $52, the strike price is $50, the risk free…

A: Calculate the call option and put option as follows:   Formulas:

Q: A stock sells P110. A call option on the stock with an exercise price of P105 and expires in 43…

A: The Black-Scholes model is a differential equation used in financial theory. The Black-Scholes model…