Suppose a non-dividend paying stock is trading at $175 per share and has a volatility of 45%. What is the "up rate" (uu) equal to if the strike price is $190 per share, the option has a time to maturity of 3 months and there is 1 binomial period? Assume a risk-free rate of 1%. Round to the nearest 0.0001.

The current price of a non - dividend paying stock is $38.52. Use a two-step tree to value a European call option on the stock with a strike price $32.3 that expires in 12 months. The risk free rate is 9.9% per annum, and the volatility is 28.1%. What is the option price?

For a stock, you are given that: i) The current stock price is 45 ii) The stock is going to pay a dividend of 1.2 after 3 months. This is the only dividend to be paid in the coming 6 months. iii) A 6-month 42-strike European put option on the stock has a premium of 0.36 iv) The continuosly compounded risk-free interest rate is 4% Consider a 6-month 42-strike American call option on the stock. Is it optimal to excerise that call option now? Possible Answers A Yes, because the sum of implicit put protection and interest on strike is greater than the present value of dividends B No, because the sum of implicit put protection and interest on strike is greater than the present value of dividends C Yes, because the sum of implicit put protection and interest on strike is smaller than the present value of dividends D No, because the sum of implicit put protection and interest on strike is smaller than the present value of dividends E Cannot be determined

Consider the following information for an individual stock Current share price is $30 Risk-free rate is 5% pa compounded continuously Volatility of the stock returns (σ) is 30% pa Strike price is $28 Time to maturity of the option is 12 months The firm is expected to pay no dividends over the next 1 year. Use the closed-form Black-Scholes model to price the European call option with the above characteristics     3.67     5.32     9.81     None of the above