A stock sells P110. A call option on the stock with an exercise price of P105 and expires in 43 days. If the interest rate is 0.11 and the standard deviation of the stock's return is 0.25, what is the price of the CALL OPTION according to the Black-Scholes Model? A. P6.92 B. P8.05 C. P7.68 D. P6.88
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A stock sells P110. A call option on the stock with an exercise price of P105 and expires in 43 days. If the interest rate is 0.11 and the standard deviation of the stock's return is 0.25, what is the price of the CALL OPTION according to the Black-Scholes Model?
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- 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?3. A stock sells for $110. A call option on the stock has an exercise price of $105 and expires in 43 days. If the interest rate is 0.11 and the standard deviation of the stock’s return is 0.25. a) Calculate the call using the Black-Scholes model b) What would be the price of a put with an exercise price of $140 and the same time until expiration? c) How does an increase in the volatility and interest rate changes affect the underlying stock’s return on an option’s value? Explain.An increase in the rate of interest A fall in the level of demand A decrease in the rate of interest A stock sells P110. A call option on the stock with an exercise price of P105 and expires in 43 days. If the interest rate is 0.11 and the standard deviation of the stock's return is 0.25, what is the price of the CALL OPTION according to the Black-Scholes Model? P6.92 P8.05 T P7.68 P6.88 O Focu: States)
- Compute the Black-Scholes price of a call option on a stock which does not pay dividends and has the volatility 0.3, if its exercise price is 200 USD and expiration in two year. Interest rate is zero and the price of the stock is 180 USDa) ATH Berhad stock price 7.00 put on ATH Berhad stock 7.00 call on ATH Berhad stock You observe the following price quotes RM 7.30 RM 0.10 RM 0.50 Assuming the options have 15 days left to maturity, determine the intrinsie and time values of each option. Why is the call priced higher than put?Consider a stock with a current price of P $27 Suppose that over the next 6 months the stock price will either go up by a factor of 1.41 or down by a factor of 071. Consider a call option on the stock with a strike price of $25 that expires in 6 months. The nsk-free rate is 6%. (1) Using the binomial model, what are the ending values of the stock price? What are the payoffs of the call option? (2) Suppose you write one call option and buy N shares of stock How many shares must you buy to create a portfolo with a riskless payoff Ge, a hedge portfolio)? What is the payoff of the portfolio? 13)What.is the.present.value of the hedge port- Tolot What &the value of phe calt.option? (4) What s a teplieatirg portfolio What is 2otrage?
- Assume a stock price is P120, and in next year, it will either rise by 10 percent or fall by 20 percent. The risk-free interest rate is 6%. A call option on this stock has an exercise price of P130. What is the chance that the stock price will rise? a. 93% b. 87% c. 50% d. 94%Compute the Black-Scholes price of a call option on a stock which does not pay dividends and has the volatility 0.2, if its exercise price is 200 USD and expiration in one year. Interest rate is zero and the price of the stock is 180 USD. Use excel.3. Consider a non-dividend paying stock whose initial stock price is 62 and has a log- volatility of σ = 0.20. The interest rate r = 10%, compounded monthly. Consider a 5-month option with a strike price of 60 in which after exactly 3 months the purchaser may declare this option a (European) call or put option. Assume u = 1.05943 and d = = 0.94390 (a) Compute the values of the binomial lattice for 5 1 month period. 0 1 2 3 4 5 62 (b) Compute the appropriate risk-free rate. (c) Find the risk-neutral probability p of going up? (d) Find the values of call option and put option along this lattice: 0 5.85 1 2 3 4 5 call option 0 1 2 3 4 5 1.40 put option
- Suppose that a call option with a strike price of $48 expires in one year and has a current market price of $5.17. The market price of the underlying stock is $46.25, and the risk-free rate is 1%. Use put-call parity to calculate the price of a put option on the same underlying stock with a strike of $48 and an expiration of one year. The price of a put option on the same underlying stock with a strike of $48 and an expiration of one year is $. (Round to the nearest cent.)Consider an American put option (K=$100) expiring in one year on a stock trading for $84. The return volatility on the stock is 27.3% and the riskless rate is 5%. Find the price of the option using a Binomial Model with two steps. (Respond with two decimal places, such as "-12.34") 26.59 Correct Answer: 18.28A stock trades today at $73.14. (a) Write down the intrinsic value of a call option with strike price K = 72.50. (b) Assuming that the option in (a) expires three months from now and that the risk-free interest rate is 4.06% per annum, find a theoretcal lower bound for the price of the option (to the nearest cent). (c) Suppose that the price of the call option (with strike price and expiration date as above) is $1.82. Find the no-arbitrage price for a European-style put option with the same strike price and expiration date.