The share price of Heavy Metal (HM) changes only once a month: Either it goes up by 22% or it falls by 18.5%. Its price now is $48.7. The interest rate is 0.9% per month. What is the value of a one-month call option with an exercise price of $48.7?

The market price of a security can be modelled by assuming that it will either increase by 25% or decrease by 15% each month, independently of price movement in other months. No dividends are payable in the next two months. The continuously compounded monthly risk-free rate of interest is 1%. The current market price of the security is 127. a.) Use the binomial model to calculate the value of a two-month European put option on the security with strike price of 125. b.) Calculate the value of a two-months American put option on the same security with the same strike price. c.) Calculate the value of a two-months American call option on the same security with the same strike price.

Suppose the call option of Tesla company has an exercise price of $200 and expires in 90 days. Assume the current price of Tesla stock is $240, with a standard deviation of 40% per year. The risk-free interest rate is 6.18% per year. First, using the Black-Scholes formula, compute the price of the call. And then use put-call parity to compute the price of the put with the same strike and expiration date. Based on put-call parity, what should be the put option price?   $  2.65 $ 1.78 $ 3.69 $ 4.22 None of the above

Masukh

The stock price of Heavy Machine (HM) changes only once a month: Either it goes up by 20% or it falls by 16.7%. Its price now is $50. The interest rate is 1% per month. What is the value of a one-month call option with an exercise price of $45?Round to 2 decimal points for each step of the calculation. A. $ 7.20B. $ 7.13C. $ 7.72D. $ 7.80

A power call option pays off (max(ST-X, 0))2 at time T, where ST is the stock price at time T and X is the exercise price. A stock price is currently $54. It is known that at the end of one year it will be either $60 or $50. The risk-free rate of interest with continuous compounding is 8% per annum. Calculate the value of a one year power call option with an exercise price of $55. a. What is the delta of the power call option? (sample answer: 1.55 or 0.55)b. What is the risk neutral probability of up movement? (sample answer: 55.50%)c. What is the value of the power option? (sample answer: $15.50)