The current price of a non-dividend-paying stock is $30. Over the next six months it is expected to rise to $36 or fall to $28. Assume the risk-free rate is 10%. What, to the nearest cent, is the price of a European put option with a strike price of $33?
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The current price of a non-dividend-paying stock is $30. Over the next six months it is...
The current price of a non-dividend-paying stock is $30. Over the next six months it is expected to rise to $36 or fall to $26. Assume that the risk-free rate is 10%. What, to the nearest cent, is the value of a 6-month European call option on the stock with a strike price of $33?
The current price of a non-dividend-paying stock is $30. Over the next six months it is expected to rise to 536 or fall to $26. Assume the risk-free rate is zero. What is the risk-neutral probability of that the stock price will be $367
The current price of a non-dividend-paying stock is $160. Over the next year it is expected to rise to $176 or fall to $154. Assume the risk free rate is 5% per year. An investor buys a European call option with a strike price of $162 per share. Assume that the option is written on 100 shares of stock. What stock position should the investor take today so that she would hold a riskless portfolio if it was combined with...
Q8-Part I (6 marks) The current price of a non-dividend-paying stock is $42. Over the next year it is expected to rise to-$44. or fall to $39. An investor buys put options with a strike price of $43. To hedge the position, should (and by how many) the investor buy or sell the underlying share (s) for each put option purchased? (6 marks) 08-Part II (9 marks) The current price of a non-dividend paying stock is $49. Use a two-step...
The current stock price of a non-dividend-paying stock is $50, the risk-free interest rate is 10% per annum, and the volatility is 30% per annum. a) According to the BSM model what is the price of a three-month European put option with a 2. strike of $50? What would be the price of this option if the stock is expected to pay a dividend of $1.50 in two months? b)
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 with u=1.1 and d=0.9. Each step is 3 months, the risk free rate is 8%. b) what is the value of the put if it were American style option, all else being equal to that problem.
Problem 1. 1. Calculate the price of a six-month European put option on a non-dividend-paying stock with an exercise price of $90 when the current stock price is $100, the annualized riskless rate of interest is 3%, and the volatility is 40% per year. 2. Calculate the price of a six-month European call option with an exercise price on this same stock a non-dividend-paying stock with an exercise price of $90. Problem 2. Re-calculate the put and call option prices...
A non-paying dividend stock price is currently 40 US$. Over each of the next two three-month periods it is expected to go either up by 10% or down by 10%. The riskless interest rate is 12% per annum with continuous compounding. What is the value of a six-month European put option with a strike price of 42 US$? Given the information above find the relevant call and put price of that European non-paying dividend stock option using the Black-Scholes formula
The current price of a non-dividend-paying stock is 30. The volatility of the stock is 0.3 per annum. The risk free rate is 0.05 for all maturities. Using the Cox-Ross-Rubinstein binomial tree model with two time steps to do the valuation, what is the value of a European call option with a strike price of 32 that expires in 6 months?
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?