Required: Consider a 1-year option with exercise price $135 on a stock with annual standard deviation 10%. The T-bill rate is 3% per year. Find N(d1) for stock prices $130, $135, and $140. (Do not round intermediate calculations. Round your answers to 4 decimal places.) S N(d1) $ 130 $ 135 $ 140
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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?The price of Newgen Corp. stock will be either $94 or $103 at the end of the year. Call options are available with one year to expiration. T-bills currently yield 7.90%. (Do not leave any empty spaces; input a O wherever it is required. Omit "$" sign in your response.) a. Suppose the current price of Newgen stock is $104. What is the value of the call option if the exercise price is $94 per share? (Round the final answer to 2 decimal places.) Call option value b. Suppose the exercise price is $109 in part (a). What is the value of the call option now? Call option valueConsider the following information on AAPL. The current stock price is $326.72. The call option has a strike price of $320. The price of the call option is $68. The option has 1 year till expiration. Question: Suppose you purchase the option at the current price and hold it until expiration. If the stock price at expiration is $350, the return on your investment is: -55.88% 44.11% -100% None of the above
- Calculate the value of a call option for the following stock. Use the Black-Scholes formula. Time to expiration Standard deviation Exercise price Stock price Annual interest rate Dividend 6 months 50% per year $50 $50 3% 0 (Do not round intermediate calculations. Round your answer to 2 decimal places.) Value of a call optionThe current price of a stock is $55. In 1 year, the price will be either $50or $65. The annual risk-free rate is 5.5%. The stock has an exercise price of $60 and expiresin 1 year.a. Find the range of values for the ending stock price and the call option at the option’sexpiration in 1 year.b. Equalize the range of payoffs for the stock and the option.c. Create a riskless hedged investment. What is the value of the portfolio in 1 year?d. What is the cost of the stock in the riskless portfolio?e. What is the present value of the riskless portfolio?f. From your answers in parts d and e, what is the value of the firm’s call option?A put option and a call option with an exercise price of $55 and three months to expiration sell for $1.15 and $5.30, respectively. If the risk-free rate is 4.2 percent per year, compounded continuously, what is the current stock price? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Current stock price
- What is the value of a put option if the underlying stock price is $47, the strike price is $40, the underlying stock volatility is 52 percent, and the risk-free rate is 5.5 percent? Assume the option has 150 days to expiration. (Use 365 days in a year. Do not round intermediate calculations. Round your answer to 2 decimal places.) X Answer is complete but not entirely correct. Value of a put option $ 7.00What 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 = $76 Exercise price = $75 Risk-free rate = 4.50% per year, compounded continuously Maturity = 4 months Standard deviation = 63% per year Call price $ Put price $■ Yegi’s Fine Phones has a current stock price of $30. You need to findthe value of a call option with a strike price of $32 that expires in3 months. Use the binomial model with one period until expiration(i.e., t = 0.25 and n= 1). The factor for an increase in stock price isu = 1.15; the factor for a downward movement is d = 0.85. Whatare the possible stock prices at expiration? ($34.50 or $25.50)What are the option’s possible payoffs at expiration? ($2.50 or$0) What are pu and pd? (0.5422 and 0.4429) What is the currentvalue of the option (assume each month is 1/12 of a year)? ($1.36)
- Use the Black-Scholes formula for the following stock: Time to expiration 6 months Standard deviation 55% per year Exercise price $51 Stock price $50 Annual interest rate 5% Dividend 0 Calculate the value of a call option. Note: Do not round intermediate calculations. Round your answer to 2 decimal places.Consider a 1-year option with exercise price $65 on a stock with annual standard deviation 15%. The T-bill rate is 3% per year. Find N(d1) for stock prices $60, $65, and $70.Use the Black-Scholes formula for the following stock: Time to expiration Standard deviation Exercise price Stock price Annual interest rate Dividend 6 months 43% per year $58 $57 2% 0 Calculate the value of a call option. (Do not round intermediate calculations. Round your answer to 2 decimal places.) Value of a call option