A non-dividend paying stock is selling for $52.50. The standard deviation of its returns is 45% p.a. The risk free rate is 4% p.a. ( c) What is the value of a 6-month put over the same stock with a strike price of $60? Calculate your answer based on this input table. Inputs Standard Deviation (annual) 45% Maturity (in years) 0,50 Risk-Free Rate (annual) 4% Exercise Price $60,00 Dividend Yield (annual) 0 Stock Price=$52.50 $52,50 d1 is: -0,1977
A non-dividend paying stock is selling for $52.50. The standard deviation of its returns is 45% p.a. The risk free rate is 4% p.a. ( c) What is the value of a 6-month put over the same stock with a strike price of $60? Calculate your answer based on this input table. Inputs Standard Deviation (annual) 45% Maturity (in years) 0,50 Risk-Free Rate (annual) 4% Exercise Price $60,00 Dividend Yield (annual) 0 Stock Price=$52.50 $52,50 d1 is: -0,1977
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 14P
Question
A non-dividend paying stock is selling for $52.50. | |
The standard deviation of its returns is 45% p.a. | |
The risk free rate is 4% p.a. |
( c) What is the value of a 6-month put over the same stock with a strike price of $60? | ||||||
Calculate your answer based on this input table. | ||||||
Inputs | ||||||
Standard Deviation (annual) | 45% | |||||
Maturity (in years) | 0,50 | |||||
Risk-Free Rate (annual) | 4% | |||||
Exercise Price | $60,00 | |||||
Dividend Yield (annual) | 0 | |||||
Stock Price=$52.50 | $52,50 | |||||
d1 is: | -0,1977 |
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