Using the Black-Scholes formula find the price of a$50 strike price European call option expiring in 6months. The current price of the underlying stockis $45 and its return volatility is 20%. Thecontinuously compounding risk-free rate is 3%.Select one:O A. $0.91O B. $2.01O C. $1.25O D. None of the options are correctO E. $1.05

Call option is a derivative product that derives value from the underlying stock price and it gives…

Using the Black-Scholes formula find the price of a $50 strike price European call option expiring in 6 months. The current price of the underlying stock s $45 and its return volatility is 20%. The continuously compounding risk-free rate is 3%. Select one: O A. $0.91 OB. $2.01 OC. $1.25 OD. None of the options are correct O E. $1.05

Using the Black-Scholes formula find the price of a $50 strike price European call option expiring in 6 months. The current price of the underlying stock s $45 and its return volatility is 20%. The continuously compounding risk-free rate is 3%. Select one: O A. $0.91 OB. $2.01 OC. $1.25 OD. None of the options are correct O E. $1.05

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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QUESTION: 2. What is the fair value for a six-month European call option with a strike price of $135 over a stock which is trading at $138.15 and has a volatility of 42.5% when the risk free rate is 1.85% using the two step binomial tree? a) What is the delta of this option? b) What is the probability of an up movement in this stock? c) What is the probability of a down movement in this stock? d) What is the proportional move up for this stock e) What is the proportional move down for this stock f) What would be the value of the put option with the same strike price?
You have written (sold) a three-month European call option at a strike price of $500. The current stock price (So) is $492.00, the annual risk-free interest rate is 4%, and the volatility of the underlying is 10%. Construct a delta hedge of this position using the underlying asset. Report your answer in the number of shares of the underlying purchased/sold. (Positive values indicate a purchase, negative a short)
2
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What 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 Exercise price Risk-free rate Maturity Standard deviation Call price Put price = $81 = $75 3.60% per year, compounded continuously = 5 months = 57% per year
not use ai please
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 option
Calculate the upper and lower bounds for the price of a 4-month European call option on a non-dividend-paying stock when the stock price is $28, the strike price is $25 and the risk-free rate is 8% p.a. compounded continuously. '0
6 Call options with an exercise price of $50 and one year to expiration are available. The market price of the underlying stock is currently $42, but this market price is expected to either decrease to $52 or increase to $37 in a year's time. Assume the risk-free rate is 6%. What is the value of the option? (Do not round Intermediate calculations. Round the final answer to 2 decimal places. Omit any commes and the $ sign in your response. For example, an answer of $1,000.50 should be entered as 1000.50.) Numeric Response 2:26:13 W حن Search 96 15 園 16 17 5 CH IA ASUS 180/2 8 19 9 10 O 112 IA Bit St Amanat ENG US 6:03 PM 2024-07-09
Assume a stock price of $30.25, risk-free rate of 1 percent, standard deviation of 40 percent, N(d1) value of 0.7976, and an N(d2) value of 0.7089. What is the value of a six-month put with a strike price of $25 given the Black-Scholes option pricing model (rounded to the nearest cent)? $6.49 $0.83 $2.43 $1.12 None of the above are correct.
Black-Scholes Model Use the Black-Scholes model to find the price for a call option with the following inputs: (1) current stock price is $28, (2) strike price is $34, (3) time to expiration is 6 months, (4) annualized risk-free rate is 6%, and (5) variance of stock return is 0.09. Do not round intermediate calculations. Round your answer to the nearest cent. $
The current stock price is 100. It pays 6% continuous dividend yield. Its volatility is 30%. The risk free interest rate is 3% flat. Use the closed form results from BSM theory to compute the price, delta and theta (round your numerical results to 4 decimal places) for: a) a 10 year European style call option with strike 150; b) a perpetual American style call option with strike 150; c) Φ (Greek "phi") for a derivative f is defined as its sensitivity to the changes of dividend yield q: Φ = δf / δq Compute Φ for the above two options. Please present both the analytical expressions and the numerical results.

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