current stock price = rs 1260
Strike price = rs 1280
Time to expiration = 3 months
Volatility = 30% p.a.
Annual risk free rate = 12%
Annual dividend yield = 5%
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6.Determine put option price from the following data: Current stock price Rs. 1260, strike price Rs.1280, Time to expiration 3 months, Volatility 30%, Annual risk-free rate 11 12% Use Black-Scholes formula
1. Consider the following information about a European call option on stock ABC: . The strike price is S100 The current stock price is $110 The time to expiration is one year The annual continuously-compounded risk-free rate is 5% ·The continuous dividend yield is 3.5% Volatility is 30% . The length of period is 4 months. Find the risk-neutral probability p*. Hint: 45.68%
A European call option and put option on a stock both have a strike price of $45 and an expiration date in six months. Both sell for $2. The risk-free interest rate is 5% p.a. The current stock price is $43. There is no dividend expected for the next six months. a) If the stock price in three months is $48, which option is in the money and which one is out of the money? b) As an arbitrageur, can...
Problem 12. A European call and put option on a stock both have a strike price of $30 and an expiration date in three months. The price of the call is $3, and the price of the put is $2.25. The risk free interest rate is 10% per annum, the current stock price is $31. Indentify the arbitrage opportunity open to a trader.
(i) The current stock price is 100. The call option premium with a strike price 100 is 8. The effective risk-free interest rate is 2%. The stock pays no dividend. What is the price of a put option with strike price 100? (Both options mature in 3 months.) (ii) The 3-month forward price is 50. The put option premium with a strike price 52 is 3 and the put option matures in 3 months. The risk-free interest rate is 4%...
Use the Black-Scholes model to find the price for a call option with the following inputs: (1) current stock price is $30, (2) strike price is $37, (3) time to expiration is 6 months, (4) annualized risk-free rate is 6%, and (5) variance of stock return is 0.36. Do not round intermediate calculations. Round your answer to the nearest cent.
A call option has a premium of $0.60, a strike price of $40, and 3 months to expiration. The current stock price is $39.60. The stock will pay a $0.80 dividend two months from now. The risk-free rate is 3 percent. What is the premium on a 3-month put with a strike price of $40? Assume the options are European style.
14. A call option has a premium of $0.60, a strike price of $40, and 3 months to expiration. The current stock price is $39.60. The stock will pay a $0.80 dividend two months from now. The risk-free rate is 3 percent. What is the premium on a 3-month put with a strike price of $40? Assume the options are European style. Page 4
Consider a European put option on the stock of XYZ, with a strike price of $30 and two months to expiration. The stock pays continuous dividends at the annual continuously com- pounded yield rate of 5%. The annual continuously compounded risk free interst rate is 11%. The stock currently trades for $23 per share. Suppose that in two months, the stock will trade for either $18 per share or $29 per share. Use the one-period binomial option pricing to find...
What is the price of a European call option according to the Black-Sholes formula on a non-dividend-paying stock when the stock price is $45, the strike price is $50, the risk-free interest rate is 12% per annum, the volatility is 25% per annum, and the time to maturity is six months? Show your work in details.