Put call parity:
call + present value of strike price = put + stcok price
1.4 + 35 * e^(-.5*.032) = put + 35.79
put = 35.84 - 35.79
price of put = $0.05
Webster United stock is priced at $35.79 per share. The 6-month $35 call options are priced...
Problem 22-6 Put-Call Parity A stock is currently selling for $73 per share. A call option with an exercise price of $77 sells for $3.65 and expires in three months. If the risk-free rate of interest is 3.3 percent per year, compounded continuously, what is the price of a put option with the same exercise price? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Put price
The 1-year $42 options on Agrium stock are priced at $1.54 for the call and $0.97 for the put. The annual risk-free rate is 3 percent. What is the per share price of the underlying stock? (Hint: use the put-call parity to determine the share price) $41.35 $43.19 $45.27 $47.64 $49.13
The 1-year $51 options on Nest stock are priced at $1.49 for the call and $1.27 for the put. The annual risk-free rate is 3 percent. What is the per share price of the underlying stock? (Hint: use the put-call parity to determine the share price) $51.00 $50.25 $50.67 $48.86 $49.73
The 1-year $42 options on Lowell Star stock are priced at $1.43 for the call and $.57 for the put. The annual risk-free rate is 3.5 percent. What is the per share price of the underlying stock? $45.73 $41.44 $38.42 $35.09 $32.74
You are given the following information concerning options on a particular stock: Stock price = $83 Exercise price = $80 Risk-free rate = 6% per year, compounded continuously Maturity = 6 months Standard deviation = 53% per year a). What are the prices of a call option and a put option with the above characteristics? b). What is the intrinsic value of the call option? The put option? c). What is the time value of the call option? The put...
15. The following options are available on XYZ stock: | Туре Call Put $30 $30 | 1.00 1.25 Delta 0.703 -0.292 Gamma 0.036 0.032 The stock is currently priced at $32 and has a volatility (0) of 30% p.a. The continuously compounded risk-free rate is 5% p.a. The Black-Scholes option pricing model values the call at $5.60 and the put at $2.14. (a) Assume an options trader sells an XYZ call option, what position must she take in the stock...
25. The price of a stock with no dividends, is $35 and the strike price of a 1year European call option on the stock is $30. The risk-free rate is 4% (continuously compounded). Compute the lower bound for the call option such that there are arbitrage opportunities if the price is below the lower bound and no arbitrage opportunities if it is above the lower bound? Please show your work. 26. A stock price with no dividends is $50 and...
Question 12 2 pts A stock is currently selling for $41 per share. A call option with an exercise price of $45 sells for $3.17 and expires in three months. If the risk-free rate of interest is 4.42 % per year, compounded continuously, what is the price of a put option with the same exercise price? (Round answer to 2 decimal places. Do not round intermediate calculations). Topic: Put-Call Parity
1. Apple stock is selling for $120 per share. Call options with a $117 exercise price are priced at $12. What is the intrinsic value of the option, and what is the time value? 2. Twitter is trading at $34.50. Call options with a strike price of $35 are priced at $2.30. What is the intrinsic value of the option, and what is the time value?
(b) A 6-month European call option on a non-dividend paying stock is cur- rently selling for $3. The stock price is $50, the strike price is $55, and the risk-free interest rate is 6% per annum continuously compounded. The price for 6-months European put option with same strike, underlying and maturity is 82. What opportunities are there for an arbitrageur? Describe the strategy and compute the gain.