Assume a stock trades at $95, the volatility of the stock is 36%, and the risk-free interest rate is 3.9%. What is the price of a $101 strike put option expiring in 249 days? Please answer to 2 decimal places.
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- Assume a stock trades at $95, the volatility of the stock is 36%, and the risk-free interest rate is 3.9%. What is the Vega of a $101 strike call option expiring in 249 days if the volatility of the stock increases by 1%? Please answer to 2 decimal places, answer is 31 please explain whyAssume a stock trades at $109, the volatility of the stock is 21%, and the risk - free interest rate is 4.4%. What is the Gamma of a $107 strike call option expiring in 120 days if the spot price of the stock increases by $1? Please answer to 2 decimal places. answer is.03 pleaseAssume a stock trades at $90, the volatility of the stock is 32%, and the risk-free interest rate is 3.7%. What is the Gamma of a $94 strike call option expiring in 217 days if the spot price of the stock increases by $1? Please answer to 2 decimal places. Answer: 0.26
- 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?A non-dividend-paying stock has a futures contract with a price of $82.20 and a maturity of six months. If the risk-free rate is 3.9 percent, what is the price of the stock? (Do not round intermediate calculations. Round your answer to 2 decimal places.)Give typing answer with explanation and conclusion The stock of Nugent Nougats currently sells for $46 and has an annual standard deviation of 47 percent. The stock has a dividend yield of 5.6 percent and the risk-free rate is 5.6 percent. What is the value of a call option on the stock with a strike price of $42 and 44 days to expiration?
- A stock currently trades at $40, and the volatility of its return is 10%. The continuously compounded rate of interest is 12%. Consider a call option struck at $45, with 75 days to expiration (recall that there are 251 trading days in one year). a) What is the price of the option (rounded to the nearest cent)? Answer = $ . b) What is the option's delta (rounded to four decimal places)? Answer = . c) Use your answer from (b) to estimate the value of the option tomorrow, assuming the stock is trading at $40.95 at that time? Answer = $ . d) What is the exact value of the option tomorrow, assuming the stock is trading at $40.95 at that time? Answer = $ . [Note: Use software to compute the values of the normal CDF, not the table.]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 day
- A stock has the current price of $187. What is the price of a 9-month call option on this stock if the strike price is $190 and the simple interest rate is 12% ann. Assume that the stock price at maturity could be $207 or $167The 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.A stock currently trades for $115. January call options with a strike price of $100 sell for $16, and January put options a strike price of $100 sell for $5. Estimate the price of a risk-free bond.
