A call option has a strike of $10. The stock currently trades at $30. The stock...
A call option has a strike of $10. The stock currently trades at $30. The stock can have two possible values at maturity, $70 with 30% probability and $10 with 70% probability. What is the price of a call option on this stock?
what will be the price of a put option?
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A call option has a strike of $10. The stock currently trades at
$30. The stock...
4. A call option currently sells for $7.75. It has a strike price of $85 and...
4. A call option currently sells for $7.75. It has a strike price of $85 and seven months to maturity. A put with the same strike and expiration date sells for $6.00. If the risk-free interest rate is 3.2 percent, what is the current stock price? 5. Suppose you buy one SPX call option contract with a strike of 1300. At maturity, the S&P 500 Index is at 1321. What is your net gain or loss if the premium you...
Consider a call and a put option, both with strike price of $30 and 3 months to expiration. The call trades at $4, the put price is $5, the interest rate is 0, and the price of the underlying stock is...
Consider a call and a put option, both with strike price of $30 and 3 months to expiration. The call trades at $4, the put price is $5, the interest rate is 0, and the price of the underlying stock is $29. a.Suppose the stock does not pay dividends. Is there an arbitrage? If so, write down the sequence of trades and calculate the arbitrage profit you realize in 3 months. If not, explain why not. b.Suppose the stock will...
Question 7: 1. Both a call option and a put option are currently traded on stock...
Question 7:
1. Both a call option and a put option are currently traded on stock AXT. Both options have a strike price of $90 and maturity (T) of three months. The call premium (Co) is $2.75, the put premium (Po) is $4.12, and the underlying stock price (So) is $89.50. Assume that you trade one contract that has 100 shares when you calculate profit or loss. What will be your profit (or loss) if you take a long position...
A six-month European call option on a non-dividend-paying stock is currently selling for $6. The stock...
A six-month European call option on a non-dividend-paying stock is currently selling for $6. The stock price is$64, the strike price is S60. The risk-free interest rate is 12% per annum for all maturities. what opportunities are there for an arbitrageur? (2 points) 1. a. What should be the minimum price of the call option? Does an arbitrage opportunity exist? b. How would you form an arbitrage? What is the arbitrage profit at Time 0? Complete the following table. c....
Question 1 a. A stock price is currently $30. It is known that at the end...
Question 1 a. A stock price is currently $30. It is known that at the end of two months it will be either $33 or $27. The risk-free interest rate is 10% per annum with continuous compounding. What is the value of a two-month European put option with a strike price of $31? b. What is meant by the delta of a stock option? A stock price is currently $100. Over each of the next two three-month periods it is...
A stock's current price is $72. A call option with 3-month maturity and strike price of...
A stock's current price is $72. A call option with 3-month maturity and strike price of $ 68 is trading for 6, while a put with the same strike and expiration is trading for $20. The risk free rate is 2%. How much arbitrage profit can you make by selling the put and purchasing a synthetic put? (Provide your answer rounded to two decimals.) You have purchased a put option for $ 11 three months ago. The option's strike price...
. Consider a call and a put option, both with strike price of $30 and 3...
. Consider a call and a put option, both with strike price of $30 and 3 months to expiration. The call trades at $5, the put price is $6, the interest rate is 0, and the price of the underlying stock is $29. (1) Suppose the stock does not pay dividends. Is there an arbitrage? If so, write down the sequence of trades and calculate the arbitrage profit you realize in 3 months. If not, explain why not. (2) Suppose...
A call option on XYZ stock has a delta of 0.4483, and a put option on...
A call option on XYZ stock has a delta of 0.4483, and a put option on XYZ stock with same strike and date to expiration has a delta of −0.5517. The stock is currently trading for $48.00. The gamma for both the call and put is 0.07. What is the price of the call option?
5. Consider a call and a put option, both with strike price of $30 and 3...
5. Consider a call and a put option, both with strike price of $30 and 3 months to expiration. The call trades at $5, the put price is $6, the interest rate is 0, and the price of the underlying stock is $29. (1) Suppose the stock does not pay dividends. Is there an arbitrage? If so, write down the sequence of trades and calculate the arbitrage profit you realize in 3 months. If not, explain why not. (2) Suppose...
A stock price is currently $100. A call option on this stock with a strike price...
A stock price is currently $100. A call option on this stock with a strike price of $100 and one year to maturity costs $13.61. The continuous-time interest rate is 5%. By using a one-step binomial tree, estimate the expected volatility level (σ) for the stock. Assume that u and d are modeled as below. ( Excel's Goal Seek will help solving this and will be much appreciated to be posted to see how it has been used to solve this problem, thanks)...
Question 7:
1. Both a call option and a put option are currently traded on stock AXT. Both options have a strike price of $90 and maturity (T) of three months. The call premium (Co) is $2.75, the put premium (Po) is $4.12, and the underlying stock price (So) is $89.50. Assume that you trade one contract that has 100 shares when you calculate profit or loss. What will be your profit (or loss) if you take a long position...
A six-month European call option on a non-dividend-paying stock is currently selling for $6. The stock price is$64, the strike price is S60. The risk-free interest rate is 12% per annum for all maturities. what opportunities are there for an arbitrageur? (2 points) 1. a. What should be the minimum price of the call option? Does an arbitrage opportunity exist? b. How would you form an arbitrage? What is the arbitrage profit at Time 0? Complete the following table. c....
Question 1 a. A stock price is currently $30. It is known that at the end of two months it will be either $33 or $27. The risk-free interest rate is 10% per annum with continuous compounding. What is the value of a two-month European put option with a strike price of $31? b. What is meant by the delta of a stock option? A stock price is currently $100. Over each of the next two three-month periods it is...
. Consider a call and a put option, both with strike price of $30 and 3 months to expiration. The call trades at $5, the put price is $6, the interest rate is 0, and the price of the underlying stock is $29. (1) Suppose the stock does not pay dividends. Is there an arbitrage? If so, write down the sequence of trades and calculate the arbitrage profit you realize in 3 months. If not, explain why not. (2) Suppose...
5. Consider a call and a put option, both with strike price of $30 and 3 months to expiration. The call trades at $5, the put price is $6, the interest rate is 0, and the price of the underlying stock is $29. (1) Suppose the stock does not pay dividends. Is there an arbitrage? If so, write down the sequence of trades and calculate the arbitrage profit you realize in 3 months. If not, explain why not. (2) Suppose...
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