IBM stock currently sells for 49 dollars per share. Over 12 months the price will either...

Question

Question

Answer 1

Answer #1

Number of shares to be bought=(MAX(49*1.115-51,0)-MAX(49*0.93-51,0))/(49*1.115-49*0.93)
=0.40099

Future Value=0.40099*49*1.115-MAX(49*1.115-51,0)
=18.27309

Answer 2

Similar Homework Help Questions

Question 2 11 pts IBM stock currently sells for 49 dollars per share. Over 12 months...

Question 2 11 pts IBM stock currently sells for 49 dollars per share. Over 12 months the price will either go up by 11.5 percent or down by -7.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. If you are short one call option with strike price 51 and maturity 12 months, what is the future value in 12 months of a delta-neutral portfolio? O21.908 18.764 20.533 18.273
Question 2 11 pts IBM stock currently sells for 49 dollars per share. Over 12 months...

Question 2 11 pts IBM stock currently sells for 49 dollars per share. Over 12 months the price will either go up by 11.5 percent or down by -7.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. If you are short one call option with strike price 51 and maturity 12 months, what is the future value in 12 months of a delta-neutral portfolio? 21.908 18.764 20.533 18.273
IBM stock currently sells for 49 dollars per share. Over 12 months the price will either...

IBM stock currently sells for 49 dollars per share. Over 12 months the price will either go by 11.5 percent or down by -7.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. If you are short one call option with strike price 51 and maturity 12 months, what is the present value of a delta-neutral portfolio? 10.649 20.944 17.469 19.114

IBM stock currently sells for 49 dollars per share. Over 12 months the price will either...

IBM stock currently sells for 49 dollars per share. Over 12 months the price will either go by 11.5 percent or down by -7.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. What is the value of a call option with strike price 51 and maturity 12 months? a. 0.12291 b. 1.9353 c. 2.1795 d. 1.3285
IBM stock currently sells for 49 dollars per share. Over 12 month(s) the price will either...

IBM stock currently sells for 49 dollars per share. Over 12 month(s) the price will either go up by 11.5 percent or down by -7.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. If you are short one call option with strike price 51 and maturity 12 months how many shares of stock must you buy to establish a delta-neutral position? 0.22425 0.40099 -0.20075 0.62718
Question 1 11 pts IBM stock currently sells for 49 dollars per share. Over 12 month(s)...

Question 1 11 pts IBM stock currently sells for 49 dollars per share. Over 12 month(s) the price will either go up by 11.5 percent or down by -7.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. If you are short one call option with strike price 51 and maturity 12 months how many shares of stock must you buy to establish a delta-neutral position? 0.22425 0.40099 -0.20075 O 0.62718

D Question 5 11 pts IBM stock currently sells for 49 dollars per share. Over 12...

D Question 5 11 pts IBM stock currently sells for 49 dollars per share. Over 12 months the price will either go by 11.5 percent or down by-7.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. What is the delta of a put option with strike price 51 and maturity 12 months? O-0.59901 O0.59901 0.40099 -0.40099
IBM stock currently sells for 100 dollars per share. The implied volatility equals 20.0. The risk-free...

IBM stock currently sells for 100 dollars per share. The implied volatility equals 20.0. The risk-free rate of interest is 4.0 percent continuously compounded. What is the value of a call option with strike price 95 and maturity 6 months? Answer should be to the nearest cent (2 decimal places).
5. A stock sells at $50. The price will be either $57.5 or $47.5 three months from now. Assume the risk-free rate is 12%...

5. A stock sells at $50. The price will be either $57.5 or $47.5 three months from now. Assume the risk-free rate is 12% per annum with continuous compounding. Consider a call option on the stock that has a strike price of $52.5 and a maturity of 3 months. a) Find a portfolio of the stock and bonds such that buying the call is equivalent to holding the portfolio. What is the cost of the portfolio? And what is the...

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...