Compute the value of a call option for company X based on the following details: Stock price = $37.6, strike price = $37.1, put option price = $ 2, interest (r) = 6% (daily) and t = 313 days. (include 2 decimals)
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- Suppose that both a call option and a put option have been written on a stock with an exerciseprice of $40. The current stock price is $42, and the call and put premiums are $3 and $0.75,respectively. Calculate the profit to positions of both the short call and the long put with an expiration day stock price of $43.Turn back to Figure 20.1 , which lists prices of various IBM options. Use the data in the figure tocalculate the payoff and the profits for investments in each of the following January expirationoptions, assuming that the stock price on the expiration date is $125.a. Call option, X 5 $120.b. Put option, X 5 $120.c. Call option, X 5 $125.d. Put option, X 5 $125.e. Call option, X 5 $130.f. Put option, X 5 $130.Use the data in the figure 20.1 and calculate thepayoff and the profits for investments in each ofthe following January expiration options, assumingthat the stock price on the expiration date is $125.a. Call option, X=$120b. Put option, X=$120c. Call option, X=$125d. Put option, X=$125e. Call option, X=$130f. Put option, X=$130
- The price of a stock is $44 per share, and the October put with an exercise price of $45 is selling for $3. The intrinsic value of the option is:The Black-Scholes model is used to value call options on the stock of National Co. The following information was identified:· The share price is P43.· The option matures in 6 months· The risk-free rate is 2%.· Price of the option is at P43.What is the exponent of “e” for in computing the value of the call option using the Black-Scholes model?You shorted a call option on Intuit stock with a strike price of $38. When you sold (wrote) the option, you received $3. The option will expire in exactly three months' time. a. If the stock is trading at $49 in three months, what will your payoff be? What will your profit be? b. If the stock is trading at $35 in three months, what will your payoff be? What will your profit be? c. Draw a payoff diagram showing the payoff at expiration as a function of the stock price at expiration. d. Redo c, but instead of showing payoffs, show profits. Question content area bottom Part 1 a. The payoff of the short is $ short is $ enter your response here. enter your response here, and the profit of the. Please step by step answer.
- The stocks of Cee Mobile Limited is currently trading at $73 each. The call option on the company’s stock has an exercise price of $70, with fifty (50) days remaining to expiration. It is assumed that the yield on treasury bills is currently 2%, while the volatility of the stock price is estimated as being 35%. a. Using the Black-Scholes-Merton (BSM) model, calculate the value of the Call option, given the above parameters. Show all relevant workings. b. Of the value computed, how much is the intrinsic value and the time value of the Call option? c. Using the BSM model and the information given above, calculate the value of the Put option on the stock, with a similar strike price and days to expiration.You have been given the following information on Claiborne Industries: Current stock price = $32 Option’s exercise price = $32 d1 = 0.1735 d2 = 0.02735 N(d)1 = 0.56960 N(d)2 = 0.51091 Time until expiration of option = 3 months, or 0.25 of a year Risk-free rate = 6% Variance of stock price = 0.09 Using the Black-Scholes Option Pricing Model, what would be the option’s value? Round intermediate calculations to 6 decimal places. Round your answer to two decimal places. $You are given the following information about the stock of Company ABC: Share price $80 risk free rate of interest is 6%, time to expiration is 6 months, annualised standard deviationis 0.5 and exercise price is $85. Calculate the appropriate call value of the stock according to the Black-Scholes option pricing formula. (Show your workings in full) Calculate an appropriate put premium. (Show your workings in full)
- The Black-Scholes model is used by Bulldogs Inc. to value call options on the stock of National Inc. The following information was determined by the analyst:· The share price is P30.· The price of the option is at P32.· The risk-free rate is 3%.· The option matures in 6 monthsIn the formula of the current value of the call option under the Black-Scholes model, what is the exponent of “e” be? -0.015 0.15 0.25 -0.055Which of the following call options on XYZ stock is most valuable? 1. Strike price = $ 40, 3 months to expiration 2. Strike price = $ 40, 3 months to expiration 3. Strike price = $ 50, 6 months to expiration 4. Strike price = $ 50, 6 months to expirationA stock priced at $65 has three-month calls and puts with an exercise price of $55 available. The calls have a premium of $3.91, and the puts cost $1.6. The risk-free rate is 1.6%. If the put options are mispriced, what is the profit per option assuming no transaction costs? Bring out 4 decimal places