The price for a forward contract on a stock expiring in four months is sh 350....
The price for a forward contract on a stock expiring in four months is sh 350. At a certain strike price, the price of a European call option expiring in four months for the stock is sh 60, while the price of a European put option is sh 280. The annual continuously compounded interest rate is 0.030
Required: Calculate the strike price of the call and put options
Homework Answers
Add Answer to:
The price for a forward contract on a stock expiring in four
months is sh 350....
Problem 1.4.2. (Long put vs short forward) You are given: (6) The current price of a...
Problem 1.4.2. (Long put vs short forward) You are given: (6) The current price of a 100-strike 9-month European put option is 12. (ii) A 9-month forward has a forward price of 105 (iii) The continuously compounded risk-free interest rate is 3% Caleulate the stock price after 9 months such that the long put option and the short forward contract have the same profit.
The current price of YBM stock S is $101. European options with a strike price K...
The current price of YBM stock S is $101. European options with a strike price K = $100 and maturing in T = 6 months trade on YBM. The continuously compounded, risk-free interest rate r is 5 percent per year. If the call price c is $7.50 and the put price p is $4.60, then the arbitrage profits that you can make today by trading one contract of each option (one contract is based on 100 shares) are: Please show...
Question 3 (30 Points) (a) Assume that So 10 EUR and r price of a 9-months...
Question 3 (30 Points) (a) Assume that So 10 EUR and r price of a 9-months European put option with strike K 8 EUR is 2 EUR Compute the price of a 9-months European call option with same strike and same underlying. Which relation did you use? (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...
A 10-month European call option on a stock is currently selling for $5. The stock price...
A 10-month European call option on a stock is currently selling for $5. The stock price is $64, the strike price is $60. The continuously-compounded risk-free interest rate is 5% per annum for all maturities. a) Suppose that the stock pays no dividend in the next ten months, and that the price of a 10-month European put with a strike price of $60 on the same stock is trading at $1. Is there an arbitrage opportunity? If yes, how can...
You enter into a 6-month long forward contract on XYZ stock. The forward price is 50....
You enter into a 6-month long forward contract on XYZ stock. The forward price is 50. What is the payoff to your long forward if XYZ stock rises to 53 at 6 months? You enter into a 6-month short forward contract on XYZ stock. The forward price is 50. What is the payoff to your short forward if XYZ stock rises to 51 at 6 months? You purchase a European call option on XYZ stock with strike price 50. What...
25. The price of a stock with no dividends, is $35 and the strike price of...
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...
1a) The current price of a stock is $43, and the continuously compounded risk-free rate is...
1a) The current price of a stock is $43, and the continuously compounded risk-free rate is 7.5%. The stock pays a continuous dividend yield of 1%. A European call option with a exercise price of $35 and 9 months until expiration has a current value of $11.08. What is the value of a European put option written on the stock with the same exercise price and expiration date as the call? Answers: a. $5.17 b. $3.08 c. $1.49 d. $2.50...
Option Strategies 4 A call option expiring in two months has a strike price of $105.00...
Option Strategies 4 A call option expiring in two months has a strike price of $105.00 and is trading at a premium of c=$3.97. A put option expiring in two months has a strike price of $95.00 and is trading at a premium of p=$1.48. Find the lower expiration-date stock price at which a long strangle would break even.
Option Strategies 3 A call option expiring in two months has a strike price of $97.00...
Option Strategies 3 A call option expiring in two months has a strike price of $97.00 and is trading at a premium of c=$12.50. A put option expiring in two months has a strike price of $87.00 and is trading at a premium of p=$3.36. Find the higher expiration-date stock price at which a long strangle would break even.
d) ABC stock is trading at $100 per share. The stock price will either go up...
d) ABC stock is trading at $100 per share. The stock price will either go up or go down by 25% in each of the next two years. The annual interest rate compounded continuously is 5%. (i) (ii) Determine the price of a two-year European call option with the strike price X = $110. Determine the price of a two-year European put option with the strike price X = $110. Determine the price of a two-year American put option with...
Problem 1.4.2. (Long put vs short forward) You are given: (6) The current price of a 100-strike 9-month European put option is 12. (ii) A 9-month forward has a forward price of 105 (iii) The continuously compounded risk-free interest rate is 3% Caleulate the stock price after 9 months such that the long put option and the short forward contract have the same profit.
Question 3 (30 Points) (a) Assume that So 10 EUR and r price of a 9-months European put option with strike K 8 EUR is 2 EUR Compute the price of a 9-months European call option with same strike and same underlying. Which relation did you use? (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...
You enter into a 6-month long forward contract on XYZ stock. The forward price is 50. What is the payoff to your long forward if XYZ stock rises to 53 at 6 months? You enter into a 6-month short forward contract on XYZ stock. The forward price is 50. What is the payoff to your short forward if XYZ stock rises to 51 at 6 months? You purchase a European call option on XYZ stock with strike price 50. What...
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...
d) ABC stock is trading at $100 per share. The stock price will either go up or go down by 25% in each of the next two years. The annual interest rate compounded continuously is 5%. (i) (ii) Determine the price of a two-year European call option with the strike price X = $110. Determine the price of a two-year European put option with the strike price X = $110. Determine the price of a two-year American put option with...
Most questions answered within 3 hours.
-
Calculate and plot the number and weight distributions of x-mers
found in a step-growth polymerization for...
asked 5 minutes ago -
The Baily Corporation has developed a specialized software
program that improves inventory control capability. The following...
asked 9 minutes ago -
Problem 5-4A (Part Level Submission) Wolford Department Store is
located in midtown Metropolis. During the past...
asked 9 minutes ago -
Preparation of Benzoic Acid using a Grignard Reagent URGENT
1. During your Grignard formation, a small...
asked 32 minutes ago -
A uniform magnetic field is perpendicular to the plane of a wire
loop. If the loop...
asked 31 minutes ago -
At the peak of your career, your were earning $120,000 and
holding a top level position....
asked 34 minutes ago -
. A permanent magnet is dropped south-end-down through a horizontal
circular coil with a radius of...
asked 37 minutes ago -
Bernie's Beverages purchased some fixed assets classified as
5-year property for MACRS. The assets cost $28,000....
asked 51 minutes ago -
How many ATPs are produced from the catabolism of a 10-C
molecule of fatty acid under...
asked 55 minutes ago -
Before practicing a routine on the rings, a 64.8 kg gymnast
hangs motionless, with one hand...
asked 57 minutes ago -
If the K b of a weak base is 6.3 × 10 − 6 , what...
asked 1 hour ago -
Which of the following is the minimum amount of moles of NaOH
that must be added...
asked 1 hour ago