Call options with a strike price of $80.00 and an expiration of two months were written when the underlying stock was trading at $82.19. Over the following month, the underlying stock volatility was 32.11% even though the implied volatility remained constant at 46.59%. The continuously compounded risk free rate is 3.00%. The options currently have one month until expiration and the underyling stock is now trading at $ 87.95. What is the option's current market price? Report your answer without a dollar sign to four decimal places.

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IBM stock currently sells for 84 dollars per share. Over 8 months the price will either go up by 7.5 percent or down by -3.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. A call option with strike price 83 and maturity of 8 months has a delta of 0.82766. What is the value of this call option? 0.62579 O2.6708 O4.0788 2.9324 O4.3788

Generic Stock Inc. (GS) is trading at $100. A call option with a strike price of $102, which expires in 6 months, costs $9.52 (assuming a risk - free rate of 5% and a volatility of 0.33). What is the Delta of this option

Assume 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 please

The common stock of the CGI Inc. has been trading in a narrow range around $35 per share for months, and you believe it is going to stay in that range for the next three months. The price of a three-month put option with an exercise price of $35 is $2, and a call with the same expiration date and exercise price sells for $3. Suppose you write a strap ( = write 2 calls and write 1 put with the same strike price) and the stock price winds up to be $37 at contract expiration. What was your net profit on the strap? A. $200 B. $300 C. $400 D. $500 E. $700

A stock index is currently 1,500. Its volatility is 18%. The risk-free rate is 4% per annum (continuously compounded) for all maturities and the dividend yield on the index is 2.5%. Calculate values for u, d, and p when a six-month time step is used. What is the value a 12-month American put option with a strike price of 1,480 given by a two-step binomial tree.

The shares of XYZ Inc. are currently selling for $120 per share. The shares are expected to go up by 10 percent or down by 5 percent in each of the following two months (Month 1 and Month 2). XYZ Inc. is also expected to pay a dividend yield of 2 percent at the end of Month 1. The risk-free rate is 0.5 percent per month.  a. What is the value of an American call option on XYZ shares, with an exercise price of $125 and two months to expiration? Use the binomial model to obtain the answer.  b. Draw a binomial tree diagram for this American call option, showing the share price, call price, and whether the call should be exercised at each state during the next two months.    ***Answer b only