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how we get the answer .91 ?
Quetal's stock trades at $68 per share. r=.08.T =...
how do we get the .91 the put call how we get .91 Quetal's stock trades...
how
do we get the .91 the put call
how
we get .91
Quetal's stock trades at $68 per share. r = .08.T = 1 year=time to maturity. Both call and put options with different strike prices are available. Some of the option prices are given below. Strike Price Per Share Put Cost Per Share Call Cost T $75 $5.2386 $.2122 $70 $1.6181 $1.4901 $65 $8.9046 8B. Assuming that put call parity holds what should be the price of the...
. The spot price per share is $115 and the risk free rate is 5% per annum on a continuously compounded basis. The annual...
. The spot price per share is $115 and the risk free rate is 5% per annum on a continuously compounded basis. The annual volatility is 20% and the stock does not pay any dividend. All options have a one-year maturity. In answering the questions below use a binomial tree with three steps. Each step should be one-third of a year. Show your work. 1.Using the binomial tree, compute the price at time 0 of a one-year European call option...
(15) A certain stock is valued at $18 per share today. Suppose the prices of a European call and ...
(15) A certain stock is valued at $18 per share today. Suppose the prices of a European call and a European put on one share of the stock, (each with strike price $10 and each expiring a year from now), are $12 and $6 respectively. What is the implied interest rate? (Hint: Put-Call Parity)
(15) A certain stock is valued at $18 per share today. Suppose the prices of a European call and a European put on one share of...
1. (Put-call parity) A stock currently costs So per share. In each time period, the value...
1. (Put-call parity) A stock currently costs So per share. In each time period, the value of the stock will either increase or decrease by u and d respectively, and the risk-free interest rate is r. Let Sn be the price of the stock at t n, for O < n < V, and consider three derivatives which expire at t- N, a call option Vall-(SN-K)+, a put option Vpul-(K-Sy)+, ad a forward contract Fv -SN -K (a) The forward...
1. (Put-call parity) A stock currently costs So per share. In each time period, the value...
1. (Put-call parity) A stock currently costs So per share. In each time period, the value of the stock will either increase or decrease by u and d respectively, and the risk-free interest rate is r. Let Sn be the price of the stock at t-n, for O < n < N, and consider three derivatives which expire at t - V, a cal option Voll-(SN-K)+, a put option VNut-(X-Sy)+, and a forward option VN(SN contract FN SN N) ,...
The current price of the Gilead stock is $77 per share. Consider an option strategy, which...
The current price of the Gilead stock is $77 per share. Consider an option strategy, which consists of following positions: Selling one put option on the Gilead stock with the strike price of $75. The price of this put option is $3.44. Buying one put option on the Gilead stock with the strike price of $72. The price of this option is $2.24. Buying one call option on the Gilead stock with the strike price of $81. The price of...
A stock is currently selling for $75 per share. You could purchase a call with a...
A stock is currently selling for $75 per share. You could purchase a call with a strike price of $70 for $7. You could purchase a put with a strike price of $70 for $2. Calculate the intrinsic value of the call option. Calculate the time value of the call option. Calculate the intrinsic value of the put option. Calculate the time value of the put option.
1 .Today’s price of Proctor and Gamble (PG) is $120 per share. You are mildly bearish...
1 .Today’s price of Proctor and Gamble (PG) is $120 per share. You are mildly bearish about PG in the near future. To implement your view, you decide to purchase a bear put spread with six months until maturity. An option dealer provides you quotes on six-month PG options. For a put option with a strike of $115, the dealer quotes you a price of $6.01. For a put option with a strike of $95, the dealer quotes you a...
Assume put-call parity holds. One stock is selling for $33 per share. Calls with a $30...
Assume put-call parity holds. One stock is selling for $33 per share. Calls with a $30 strike and 180 days until expiration are selling for $6. What should be the put price? Suppose risk-free rate is 4%.
Use the following information to answer the next two questions. MNO stock currently trades for $75....
Use the following information to answer the next two questions. MNO stock currently trades for $75. Call options on the stock mature in six months and have a strike price of $75. The expected standard deviation of the stock is 20% and the annual risk-free rate is 6%. 1) What should be the call premium according to the Black-Scholes model? 2) Use the Black-Scholes model to find the premium for a put option on MNO that expires in six months...
how
do we get the .91 the put call
how
we get .91
Quetal's stock trades at $68 per share. r = .08.T = 1 year=time to maturity. Both call and put options with different strike prices are available. Some of the option prices are given below. Strike Price Per Share Put Cost Per Share Call Cost T $75 $5.2386 $.2122 $70 $1.6181 $1.4901 $65 $8.9046 8B. Assuming that put call parity holds what should be the price of the...
(15) A certain stock is valued at $18 per share today. Suppose the prices of a European call and a European put on one share of the stock, (each with strike price $10 and each expiring a year from now), are $12 and $6 respectively. What is the implied interest rate? (Hint: Put-Call Parity)
(15) A certain stock is valued at $18 per share today. Suppose the prices of a European call and a European put on one share of...
1. (Put-call parity) A stock currently costs So per share. In each time period, the value of the stock will either increase or decrease by u and d respectively, and the risk-free interest rate is r. Let Sn be the price of the stock at t n, for O < n < V, and consider three derivatives which expire at t- N, a call option Vall-(SN-K)+, a put option Vpul-(K-Sy)+, ad a forward contract Fv -SN -K (a) The forward...
1. (Put-call parity) A stock currently costs So per share. In each time period, the value of the stock will either increase or decrease by u and d respectively, and the risk-free interest rate is r. Let Sn be the price of the stock at t-n, for O < n < N, and consider three derivatives which expire at t - V, a cal option Voll-(SN-K)+, a put option VNut-(X-Sy)+, and a forward option VN(SN contract FN SN N) ,...
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