What is the price of $60 strike put? Assume S=$63.75, σ=0.20, r=0.055,the stock pays no dividend and the option expires in 50 days
Q: A stock has a required return of 10%, the risk-free rate is 6%, and the market risk premium is 3%.…
A: Formula: Required return=Risk free rate+Beta×Risk premium
Q: Assume that the risk-free rate is 6.00% and the market risk premium is 6.75%. What is the expected…
A: Given: Risk free rate=6% Market risk premium = 6.75%
Q: stock has a required return of 8%, the risk-free rate is 3.5%, and the market risk premium is 3%. a.…
A: CAPM is an abbreviation used for Capital asset pricing model. This model is used to determine the…
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: A stock has a required return of 13%, the risk-free rate is 4.5%, and the market risk premium is 4%.…
A: In order to calculate the stock's beta, we can use the the formula given under capital asset pricing…
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: 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: 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. 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: Suppose company XYZ's stock is trading at $68.3. You currently hold a call option with a strike…
A: A call option is an instrument which provides its holder an option to buy an underlying asset on a…
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: You sell a put option on a stock for $4 with a strike price of $30. The stock currently sells for…
A: Give, Premium on option $4. Strike price is $30.
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: The value of an option is $6.24, its delta is 0.5, and the price for the underlying stock is $82.…
A: Delta of an Option helps in determining the change in value of an option due to change in price of…
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 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: 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: Since you have asked multiple question, we will solve the first question for you. If you want any…
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: A stock is currently priced at $53.87 and the futures on the stock that expire in six months have a…
A: Fair Futures price = Spot rate * (1+rate*time)
Q: need help on both
A: Spot Price = $54Put Option Price = $0.70Call Option Price = $0.70Selling Strike Price = $62…
Q: the stock will be worth $25. | What is the present discounted value of the call option? | What would…
A: A call option gives the holder of the option a right, but not an obligation to buy stocks at a…
Q: At t = 0; the price of a certain stock is S(0) = $50: At t = 1; the price is either S(1) = $80 or…
A: A tree describing the behaviour of the stock price is shown below.The risk netural probability of an…
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: 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: Assume the expected return on the market is 18 percent and the risk-free rate is 4 percent.…
A: Expected return means the percentage of profit that investor is expected depending upon the risk…
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: Roslin Robotics stock has a volatility of 30% and a current stock price of $60 per share. Roslin…
A:
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: 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: Note: We’ll answer the first question since the exact one wasn’t specified. Please submit a new…
Q: Which of the following call options on XYZ stock is most valuable? 1. Strike price = $ 40, 3 months…
A: Answer is the option with Strike price of $50 and 6 months to expiration.
Q: What would be the spot price if a stock index futures price were $75, the risk-free rate were 10…
A: Futures price is $75 Risk free rate is 10% Dividend yield is 3%
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: You buy a Westinghouse call with an exercise price of P20 paying P2.50. If Westinghouse stock closes…
A: Exercise price (X) = P 20 Call price (C) = P 2.50 Stock price ate expiration (S) = P 24.75
Trending now
This is a popular solution!
Step by step
Solved in 2 steps with 1 images
- Put–Call Parity The current price of a stock is $33, and the annual risk-free rate is 6%. A call option with a strike price of $32 and with 1 year until expiration has a current value of $6.56. What is the value of a put option written on the stock with the same exercise price and expiration date as the call option?A) What is the price of a $60 strike put? Assume S = $63.75, σ = 0.20, r = 0.055, the stock pays no dividend and the option expires in 50 days? B) What is the price of a $25 strike call? Assume S = $23.50, σ = 0.24, r = 0.055, the stock pays a 2.5% continuous dividend and the option expires in 45 days?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.b) What is the price of a $60 strike put? Assume S = $63.75, σ = 0.20, r = 0.055, the stock pays no dividend and the option expires in 50 days?c) What is the price of a $25 strike call? Assume S = $23.50, σ = 0.24, r = 0.055, the stock pays a 2.5% continuous dividend and the option expires in 45 days
- 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. b)what is the price of a $60 strike put? Assume S=$63.75, σ =0.20, r=0.055, the stock pays no dividend and the option expires in 50 days? c) What is the price of a $25 strike call? Assume S=$23.50, σ=0.24, r=0.055, the stock pays a 2.5% continuous dividend and the option expires in 45 days? d) 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% continuous dividend and the option expires in 110 days? e) 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% continuous dividend and the option expires in 80daysWhat 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.What is the price of a $35 strike call? Assume S = $38.50,= 0.25, r = 0.06, the stock pays no dividend andthe option expires in 45 days.
- A) 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% continuous dividend and the option expires in 110 days? B) 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% continuous dividend and the option expires in 80 days?A. 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% continuous dividend and the option expires in 110 days?B. 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% continuous dividend and the option expires in 80 dayA) 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% continuous dividend and the option expires in 110 days?B) 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% continuous dividend and the option expires in 80 days C)How does a dividend payment impact the option price?
- 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% continuous dividend and the option expires in 110 days?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% continuous dividend and the option expires in 80 days?What is the price of a $25 strike call? Assume S = $23.50, \sigma 0.24, г 0.055, the stock pays a 2.5%continuous dividend and the option expires in 45 days?