What is the value of d, of a European call option on a non-dividend-paying stock when the stock price is $600, the strike price is $59, the risk-free interest rate is 5% per annum, the volatility (Standard Deviation) is 30% per annum, and the time to maturity is three months? e=SN(d)-k -KeN(d) where 4,- and OA02704 OB.0.2167 OCD.3561 OD.0.1204 √T "√T

What is the value of d, of a European call option on a non-dividend-paying stock when the stock price is $600, the strike price is $59, the risk-free interest rate is 5% per annum, the volatility (Standard Deviation) is 30% per annum, and the time to maturity is three months? e=SN(d)-k -KeN(d) where 4,- and OA02704 OB.0.2167 OCD.3561 OD.0.1204 √T "√T

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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What is the price of a European put option on a non-dividend paying stock when thestock price is K69, the strike price is K70, the risk-free rate is 5% per annum, thevolatility is 35% per annum, and the time to maturity is 6 months?
Suppose a stock is currently trading for $35, and in one period it will either increase to $38 or decrease to $33. If the one-period risk-free rate is 6%, what is the price of a European put option that expires in one period and has an exercise price of $35? $0.51 $2.32 $1.55 $3.00 $0.76
Question 2. What is the price of a European call option on a non-dividend paying stock when the stock price is $52, the strike price is $50, the risk-free interest rate is 12% per annum, the volatility is 30% per annum, and the time to maturity is 3 months?
Suppose that the price of a stock today is at $25. For a strike price of K = $24 a 3-month European call option on that stock is quoted with a price of $2, and a 3-month European put option on the same stock is quoted at $1.5 Assume that the risk-free rate is 10% 3. per annum. (a) Does the put-call parity hold?
Consider an option on a non-dividend-paying stock when the stock price is $30, the exercise price is $29, the risk-free interest rate is 5% per annum, the volatility is 25% per annum, and the time to maturity is four months. a) What is the price of the option if it is a European put?
A non-dividend paying stock is trading at 20; the exercise price of it's European call is 18 The risk-free rate is 6.0% per annum, the volatility is 39.60% per annum, and the maturity is 6-months. What is the value of N(d₂ )--the probability of the option being exercised? Formula: d₁ = [In S/X + rc T + (0²T)/2] / ( √T) d₂ = d₁ - 0 √T [Caution: answer the value of N(d₂) using Normsdist in Excel, and not just the value of (d₂)] Question 14 [Exactly the same problem as above, Continued] A non-dividend paying stock is trading at 20; the exercise price of it's European call is 18 The risk-free rate is 6.0% per annum, the volatility is 39.60% per annum, and the maturity is 6-months. What is the price of this European Call Option? Formula: European co = So N(d₁) - Xe-rcT N(d₂) [Caution: find the value of N(d₁) and N(d₂) using Normsdist in Excel]
Give typing answer with explanation and conclusion What is the lower bound for the price of a 7-month European call option on a non-dividend-paying stock when the stock price is $44.02, the strike price is $39, and the risk-free interest rate is 1.3% per annum? Report your answer in dollars and cents.
Compute the price of a European call option on a non‐dividend‐paying stock with the strike price is $70 when the stock price is $73, the risk‐free interest rate is 10% pa, the volatility is 40% pa, and the time to maturity is 6 months?
Question 2 (a) Use the Black-Scholes formula to find the current price of a European call option on a stock paying no income with strike 60 and maturity 18 months from now. Assume the 20%, and the constant current stock price is 50, the lognormal volatility of the stock is a = continuously compounded interest rate is r 10% (b) Repeat part (a) for a European put with strike 60 and maturity 18 months from now
Question 2. (a) Use the Black-Scholes formula to find the current price of a European call option on a stock paying no income with strike 60 and maturity 18 months from now. Assume the current stock price is 50, the lognormal volatility of the stock is o = 20%, and the constant continuously compounded interest rate is r = 10%. (b) Repeat part (a) for a European put with strike 60 and maturity 18 months from now.
What is the price of a European put option on a non- dividend-paying stock when the stock price is $69, the strike price is $70, the risk-free interest rate is 5% per annum, the volatility is 35% per annum, and the time to maturity is six months?
1. Consider an option on a non-dividend paying stock when the stock price is $30, the exercise price is $28, the annual interest rate is 5%, the annual volatility is 25%, and the time to maturity is 6 months. Show the details of your calculations. a) What is the price of the option if it is a European call?

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