Use the Black-Scholes formula for the following stock: Time to expiration 6 months Standard deviation 52% per year Exercise price $53 Stock price $51 Annual interest rate 2% Dividend 0 Calculate the value of a put option. (Round to 2 decimal places).  Value of a put option

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. The stock pays no dividends. a. What is the payoff of your portfolio? Payoff b. What must be the risk-free interest rate? (Round your answer to 2 decimal places.) Risk-free rate %

Assume that a $60 strike call has a 2.0% continuous dividend, r = 5%, the stock price is $61.00, and the volatility is 20%. What is the theta of the option as the expiration time declines from 60 to 50 days? Answer to 2 decimal places. Correct Answers Between -0.2 and -0.18

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

Problem 1. Assume that the interest rate is 5%, continuously compounded annually, and consider call and put options of both American and European style expiring in 6 months on non-dividend paying stock. For each of the following scenarios, check if you can find an arbitrage opportunity and, if you can, describe it: (i) The strike price of a European put option is $3 and the option is traded at $4. (ii) The shares are traded at $3 and the American call option is traded at $3.20.

Assume that a stock trading for $30 today will be worth either $25 or $35 in two years. A risk-free asset offers an annualized 3% return (continuously compounded) over that time period. • What is the price today of a two-year put option on this stock with a strike price of $32? The maximum error is 0.1. O a. 1.52 O b. 2.47 O c. 1.82 O d. None of these answers O e. 2.07

Please answer the highlighted questions with explanation

The current price of a non-dividend paying stock is $30. Use a two-step tree to value a European put option on the stock with a strike price of $32 that expires in 6 months. Each step is 3 months, the risk free rate is 896, and u = 1.1 and d = 0.9. O $2.24 $2.44 $2.64 $2.84

Use the Black-Scholes formula for the following stock: Time to expiration 6 months Standard deviation Exercise price Stock price 41% per year $42 $41 Annual interest rate 7% Dividend Calculate the value of a call option. (Do not round intermediate calculations. Round your answer to 2 decimal places.) Value of a call option

Use the Black-Scholes formula to find the value of the put option using the next data: Stock price: $5.03 Time to expiration: 176 days (365 days in a year) The volatility of a stock return: 65% per year Strike price: $5 Risk-free interest rate: 1% per year