Essentials Of Investments
11th Edition
ISBN: 9781260013924
Author: Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher: Mcgraw-hill Education,
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Roslin Robotics stock has a volatility of
28%
and a current stock price of
$72
per share. Roslin pays no dividends. The risk-free interest is
5%.
Determine the Black-Scholes value of a one-year, at-the-money call option on Roslin stock.The Black-Scholes value of a one-year, at-the-money call option on Roslin stock is
$ Enter your response here.
(Round to the nearest cent.)Expert Solution
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- The current market price for common shares of Getgo Company is $15. Put options on these shares currently trade at 0.75 and come with a $10 strike price. If the stock’s market price falls to $8.45 what would be the dollar return earned on these put options? Your answer should look like this 1.2 that is not the right answerarrow_forward5. Gvalt stock is currently selling for $40 and a 4 month call on Gvalt with an exercise price of $35 is selling $9. a) If you write the call, what is your maximum potential profit? b) Under what condition would this profit be obtained? c) What will be your loss if you wrote the option and the stock was selling for $62 on the date of expiration?arrow_forwardA stock is currently priced at $63 and has an annual standard deviation of 43 percent. The dividend yield of the stock is 5.2 percent, and the risk - free rate is 5.2 percent. What is the value of a call option on the stock with a strike price of $60 and 48 days to expiration? (Round your answer to 2 decimal places. Omit the "$" sign in your response.) Call option $arrow_forward
- You buy a share of stock, write a 1-year call option with X = $85, and buy a 1-year put option with X = $85. Your net outlay to establish the entire portfolio is $83.3. Required: What is the payoff of your portfolio? What must be the risk-free interest rate? The stock pays no dividends. Note: Round your answer to 2 decimal places.arrow_forwardA stock is currently priced at $61 and has an annual standard deviation of 41 percent. The dividend yield of the stock is 2.8 percent, and the risk-free rate is 4.8 percent. What is the value of a call option on the stock with a strike price of $58 and 52 days to expiration? (Round your answer to 2 decimal places. Omit the "$" sign in your response.) Call option $arrow_forwardStock in Cheezy-Poofs Manufacturing is currently priced at $50 per share. A call option with a $50 strike and 90 days to maturity is quoted at $1.95. Compare the percentage gains and losses from a $97,500 investment in the stock versus the option in 90 days for stock prices of $40, $50, and $60. (Leave no cells blank - be certain to enter "0" and select "None" wherever required. Input all amounts as positive values. Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places.) Options % gain/loss Stock % gain/loss $40 $50 $60arrow_forward
- You are attempting to value a call option with an exercise price of $140 and one year to expiration. The underlying stock pays no dividends, its current price is $140, and you believe it has a 50% chance of increasing to $160 and a 50% chance of decreasing to $120. The risk-free rate of interest is 10%. Consider one share of stock and two written calls. Calculate the call option's value using the two-state stock price model. (Do not round intermediate calculations. Round your answer to 2 decimal places.)arrow_forwardRoslin Robotics stock has a volatility of 31% and a current stock price of $62 per share. Roslin pays no dividends. The risk-free interest is 5%. Determine the Black-Scholes value of a one-year, at-the-money call option on Roslin stock. The Black-Scholes value of a one-year, at-the-money call option on Roslin stock is $ (Round to the nearest cent.)arrow_forwardOn January 1 2021 you buy shares of an s&p index ETF at $370 each. You are concerned about the possible drop in value of the large cap equities before year end. The S&P 500 currently is at $4,669. You decide to buy an at-the – money put option on the s&p 500 index to insulate your portfolio from a decline in equity prices. Each put ( assume one put per ETF share)is prived at $56 and expires on 31 december. If the s&p is at $4680 on 31 december an dyour ETF position is priced at $468, what is the annualized percent return on entire investment in the ETF, including the putarrow_forward
- Roslin Robotics stock has a volatility of 36% and a current stock price of $71 per share. Roslin pays no dividends. The risk-free interest is 4%. Determine the Black-Scholes value of a one-year, at-the-money call option on Roslin stock. The Black-Scholes value of a one-year, at-the-money call option on Roslin stock is $ (Round to the nearest cent.)arrow_forwardHoneywell does not pay a dividend and its stock has a volatility of 28% and a current stock price of $67 per share. The risk-free interest is 4%. Determine the Black-Scholes value of a one-year, at-the-money call option on Honeywell's stock. (You must show me how you do this without an Excel-based option pricing model. That is, you must show your work with the formulas and Z-Tables. The value will likely be different than if you just plug into an Excel-based BSOPM). The call option's value is $. (Round to the nearest cent.)arrow_forward
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