If a particular stock does not pay dividends and is currently priced at $24 per share, what should be the price of a call option with a maturity of one year and a strike price of $24.5 if put options with the same features currently cost $2? Assume a risk-free rate of 2%. (use 5 decimal places)

Q: Stock X has an expected return of 15% based on its current share price and cashflow forecasts. Under…

A: Arbitrage is the process of buying and selling securities and investments for the purpose of taking…

Q: e Black-Scholes price of a call option on a stock which does not pay dividends and has the…

A: The given problem relates to Black Scholes Model.

Q: ou are interested to value a put option with an exercise price of $100 and one year to expiration.…

A: According to put call parity theory there is certain relation ship between the Put , call and stock…

Q: The Quick-time Company stock is currently selling for $32. There is a put option on the stock rith…

A: Stock Price 32.00 Strike Price 29.00 Variance 0.0625 Risk Free Rate 0.02 Time Period 6…

Q: les price of a call option on a stock which does not pay dividends and has the volatility 0.3, if…

A: The given problem relates to Black scholes model.

Q: Consider ALZ corp stock. ALZ corp stock does not pay a dividend. The risk-free rate is 7%. The…

A: Sharpe ratio measures the return earned in excess; subtracting the risk-free rate on a portfolio and…

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: Assume you want to price a call on a stock that has the price of $35 today. The option matures in…

A: Stock Price Today = $35 Strike Price  = $34 Upward Stock Price after 1 year = 35 + 10% * 35 = $…

Q: Assume you want to price a call on a stock that has the price of $35 today. The option matures in…

A: Hedge Ratio = Spread in option value / Spread in Stock price

Q: Suppose you are asked to value, using a four-period risk-neutral binomial approach, an at-the-money…

A: Working: Up factor (u) = 1.10 and down factor (d) = 0.95 Stock Value in year 1 if increase =…

Q: Need help

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

Q: ock is currently priced at $74 and will move up by a factor of 1.20 or down by a factor of .80 over…

A: Value of an option is the price at which the option contract is trading in the derivative market. It…

Q: A call option on a non-dividend-paying stock has a strike price of $30 and a time to maturity of six…

A: An option is a financial instrument that is based on the value of underlying securities such as…

Q: Roslin Robotics stock has a volatility of 36% and a current stock price of $58 per share. Roslin…

A: Stock volatility is 36% stock price is $58 risk free rate is 6% Strike price is $58 Time to…

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 prices of European call and put options on a non-dividend-paying stock with 12 months to…

A: Maturity = 12 months Strike price = $120 Expiration = 12 months = $20 and $5 Current Stock price =…

Q: DEP stock is currently at $100 and it is expected to either go up or down by 10%. A call option was…

A: 1.  DEP STOCK Current market price = $100 Growth rate = 10% Risk free rate = 4.5% Intrinsic value =…

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: 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 non-dividend-paying stock has a current price of 800 ngwee. In any unit of time (t, t + 1) the…

A: Given, (a) (u )= 25% Increase in % = 1 + 25% = 1.25 d = 20% Decrease % = 1 - 20% = 0.80 R = 1.04  Up…

Q: A stock is currently selling for $92.45 and is expected to sell for $109.07 in 1 year.  If the…

A: The overall return on an asset or investment portfolio over the time it has been kept is known as…

Q: You are attempting to value a call option with an exercise price of $105 and one year to expiration.…

A: A call option gives the holder the right to buy the underlying asset at a specified price and at a…

Q: Suppose that a trader buys two call options and one put option. A one-year call option on a stock…

A: Call is in the money when prices go up from strike prices and put is in the money option when prices…

Q: Suppose that call options on ExxonMobil stock with time to expiration 3 months and strike price $104…

A: Here, Strike Price is $104 Stock Price is $104 Implied Volatility is 28% Risk Free Rate is 6% Time…

Q: In an efficient market, a one-year call option on stock S with K = $25 is traded at $7.06, the…

A: Options:  Options come in two varieties: calls and puts. Options of the American variety may be…

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: You would like to be holding a protective put position on the stock of XYZ Co. to lock in a…

A: Solution- (A) Calculate the cost of put, when put option is traded Use the following given data for…

Q: You would like to be holding a protective put position on the stock of XYZ Co. to lock in a…

A: Put option is one of the options which gives the holder the right to sell the assets underlying the…

Q: Suppose a stock, not paying any dividend, is currently trading at $50. The annual volatility of its…

A: The call value is the PV of the expected cashflows in the future.

Q: Suppose that call options on ExxonMobil stock with time to expiration 3 months and strike price $90…

A: The question is based on the concept of valuation of call option by Black & Scholes model and…

Q: Far a nonclividend-paying stock, yOU are given i) The current stock price is 100 ii) At the end of…

A: Current stock price is 100 At the end of one year(t=1); Stock price can be 90 0r it can be 100 u…

Q: Consider a stock priced at $33 with a standard deviation of 0.3. The risk-free rate is 0.05. There…

A: The question is related to Derivative. The details are given.

Q: price is 200 USD and expiration in two year. Interest rate is zero and the price of the stock is 180…

A: The given problem relates to black scholes model.

Q: Please show step by step work (not in excel): What is the call option premium given the following…

A: Stock price - $36.00 Volatility - 16% Strike price - $30.00 Dividend Yield - 0.00 Riskfree rate -…

Q: The current stock price of Alcoco is $45, and the stock does not pay dividends. The instantaneous…

A: Stock value (St) = $45 Exercise price (K) = $50 Period (t) = 30 Days Risk-free rate (r) = 3%  SD of…

Q: price is 200 USD and expiration in one year. Interest rate is zero and the price of the stock is 180…

A: The given problem relates to black Scholes model.

Q: A collar is established by buying a share of stock for $50, buying a 6-month put option with…

A: a. Calculation of the gain on the collar is as follows: Hence, the gain on the collar from the…

Q: Consider shorting a call option c on a stock S where S = 24 is the value of the stock, K = 30 is the…

A: Call option: It is an option given to the buyer of the contract to buy stocks at a pre-decided date…

Q: Without using the Black‐Scholes model, compute the price of a European put option on a…

A: The question is to find value of European put option by binomial pricing model. Price of Put option…

Q: For a nondividend-paying stock, you are given: i) The current stock price is 100 ii) At the end of…

A: Current stock price is 100 At the end of one year(t=1); Stock price can be 90 0r it can be 100 u…

Q: mpute the Black-Scholes price of a put option on a stock which does not pay dividends and has the…

A: The given problem relates to black Scholes Model.

Q: ack-Scholes price of a call option on a stock which does not pay dividends and has the volatility…

A: The given problem relates to black scholes model.

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: Suppose for simplicity that a stock market index such as the S&P 500 currently is at 1,000. Assume…

A: Action Explanations Initial cash flow Cash flow in 1 year Difference Borrow $1000, repay with…

Treasury Market

On-the-run securities are the most recently issued securities in the market depth and are therefore traded at some premium. The off-the-run securities are the ones issued just before the most recent ones. The on-the-run securities have a lower yield to the investor than the off-the-run securities.