A stock has a price of $37 and an annual return volatility of 59 percent. The risk-free rate is 3.13 percent. Perform calculations in Excel. a. Calculate the European call and European put option prices with a strike price of $38.00 and a 90-day expiration. 365 days in a year. Do not round Intermediate calculations. Round your answers to 2 decimal places.) Call premium Put premium b. Calculate the deltas of the European call and European put. (Use 365 days In a year. A negative value should be deelmal places 1

A stock has a price of $37 and an annual return volatility of 59 percent. The risk-free rate is 3.13 percent. Perform calculations in Excel. a. Calculate the European call and European put option prices with a strike price of $38.00 and a 90-day expiration. 365 days in a year. Do not round Intermediate calculations. Round your answers to 2 decimal places.) Call premium Put premium b. Calculate the deltas of the European call and European put. (Use 365 days In a year. A negative value should be deelmal places 1

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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The risk-free rate is 4.15 percent. What is the expected risk premium on this stock given the following information? (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places.) Probability of Rate of Return if State State of the Economy State of Economy Вoom Occurs 0.35 16% Normal 14% 0.65
What are the prices of a call option and a put option with the following characteristics? (Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.) Stock price=$79Exercise price=$75Risk-free rate=3.50% per year, compounded continuouslyMaturity=5 monthsStandard deviation=58% per year
Assume that the risk-free rate is 6.00% and the market risk premium is 6.75%. What is the expected return for the overall stock market (rM) ? (Answer as a percent with 2 decimal places. For example, 10 percent should be entered as 10.00. Do not use the % sign.)
You have found the following information: Stock Price = $90.00 Exercise price = $96.00 Call price = $5.00 Put price = $10.00 Expiration is in 6 months What is the risk-free rate implied by these prices?
You buy a Westinghouse call with an exercise price of P20 paying P2.50. If Westinghouse stock closes at P24.75 on the expiration date of the call, your rate of return is what percentage?
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Suppose the current stock price of JuJube Inc is ¥100, the risk-free interest rate is 5%, the standard deviation is 25%, the time to maturity is 4 months, the strike price is ¥85, and the price of a call option is ¥25.20. Using the put-call parity relationship, the put option price is closest to A. ¥25.20 B. ¥16.40 C. ¥5.20 D. ¥8.80 E. None of the above
What are the prices of a call option and a put option with the following characteristics? (Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.) Stock price = $74 Exercise price = $70 Risk-free rate= Call price Put price 4.40% per year, compounded continuously Maturity = 4 months Standard deviation = 62% per year
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You are given the following information concerning options on a particular stock: Stock price= Exercise price= Risk-free rate= Maturity= Standard deviation= $83 Intrinsic value=$ $80 6% per year, compounded continuously 6 months 47% per year (a)What is the intrinsic value of the call option? (Please keep two digits after the decimal point.) (b)What is the time premium of the call option? (Please keep two digits after the decimal point.) Time premium of the call option=$
Consider a European call option on a non-dividend-paying stock where the stock price is $40, the strike price is $40, the risk-free rate is 4% per annum, the volatility is 30% per annum, and the time to maturity is 6 months. (a) Calculate u, d, and p for a two-step tree. (b) Value the option using a two-step tree.
The current spot price of a stock is $89.00, the expected rate of return is 9.8%, and the volatility of the stock is 18%. The risk-free rate is 3.3%. Assume the log-normal model. (a) Calculate the Delta A. and Vega v. of a European call with strike $94.00 expiring in 14 months. Enter your solution for A, to three decimal places. Enter your solution for v. as a dollar value to two decimal places. Ac = Vc = (b) Calculate the Delta A, and Vega v, of a European straddle with strike $94.00 expiring in 14 months. Enter your solution for As to three decimal places. Enter your solution for v, as a dollar value to two decimal places. As =

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