Homework Answers
Option D is correct
X = 120; T = .5
With lower exercise price price of option will be more and with more time to expiration price will be more due to theta effect.
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Which of the following call options (X is the exercise price and T is time to...
QUESTION 27 The following American call options all have an exercise price of $8.00. Assuming the...
QUESTION 27 The following American call options all have an exercise price of $8.00. Assuming the risk-free interest rate is the same for all maturity, which one is the most valuable? a. Spot price of underlying Term to maturity Option A $10.00 120 days b. Spot price of underlying Term to maturity Option B $11.00 15 days c. Spot price of underlying Term to maturity Option C $12.00 150 days
Call option A has an exercise price of $20. Call option B has an exercise price...
Call option A has an exercise price of $20. Call option B has an exercise price of $15. If all other characteristics of these options are identical and they are on the same underlying asset, which option will have a higher price? A. Call option A will have a higher price. B. Call option B will have a higher price. C. Call option A and call option B will have the same price. D. It’s impossible for two options on...
PROBLEM 2. 14 pointsl European call and put options with exercise price $22.5 and expiration time...
financial
PROBLEM 2. 14 pointsl European call and put options with exercise price $22.5 and expiration time in six months are trading at $4.12 and $7.42. The price of the underlying stock is $19.32 and the interest rate is 4.15%. Find an arbitrage opportunity, describe the arbitrage strategy, calculate the arbitrage profit. Provide the details.
PROBLEM 2. 14 pointsl European call and put options with exercise price $22.5 and expiration time in six months are trading at $4.12 and $7.42....
4- Consider two call options on the same underlying stock and same expiration date. You buy...
4- Consider two call options on the same underlying stock and same expiration date. You buy the call with X=40, and sell the call with X=50. What is the payoff from your position if the stock prices ends at $32? What is the highest payoff from this position? What is the lowest payoff from this position? When would you engage in such a position? PS: In all questions above X denotes the exercise price of the options, C=call premium, P=put...
Consider three call options on the same underlying stock and same expiration date. You buy the...
Consider three call options on the same underlying stock and same expiration date. You buy the call with X=40, buy the call with X=30, and sell two calls with X=35. What is the payoff from your position if the stock prices ends at $32? What is the highest payoff from this position? What is the lowest payoff from this position? For you to engage in such a position, what are your expectations about the stock price? PS: In all questions...
1. Consider a call option selling for $ 4 in which the exercise price is $50....
1. Consider a call option selling for $ 4 in which the exercise price is $50. A) Determine the value at expiration and the profit for a buyer under the following outcomes: i. The price of the underlying at expiration is $55 ii. The price of the underlying at expiration is $51 iii. The price of the underlying at expiration is $48 B) Determine the value at expiration and the profit for a seller under the following outcomes: i. The...
1. Apple stock is selling for $120 per share. Call options with a $117 exercise price...
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?
One call option with a maturity of 3 months and an exercise price of 15,000 is...
One call option with a maturity of 3 months and an exercise price of 15,000 is purchased at 4,000 Won and two call options with an exercise price of 17,500 at the same maturity are sold for 2,000 Won and a call option with the same maturity and the strike of 20,000 is longed at 500 Won. What is the profifit or loss of this option investor if the underlying asset price reaches 18,000 Won at maturity?
What are the intrinsic values and time premiums of the following call options if the price...
What are the intrinsic values and time premiums of the following call options if the price of the underlying stock is $35? What are the profits and losses to the buyers and the writers if the stock sells for $31 at the options' expiration? Strike Price Price of the Option $30 $7.50 $35 $3.00
10 Answer the following a. Suppose data are collected for a certain stock: Stock price Call...
10 Answer the following a. Suppose data are collected for a certain stock: Stock price Call price (1-year expiration, E $105) Put price (1-year expiration, E 105) $110 $17 $5 5% per year Risk-free interest rate Is there a mispricing of the call and put? If yes, can you exploit this mispricing to create arbitrage proft? b. Design a portfolio using only call options and the underlying stock with the following payoff at expiration: 0 10 20 30 40 S0...
financial
PROBLEM 2. 14 pointsl European call and put options with exercise price $22.5 and expiration time in six months are trading at $4.12 and $7.42. The price of the underlying stock is $19.32 and the interest rate is 4.15%. Find an arbitrage opportunity, describe the arbitrage strategy, calculate the arbitrage profit. Provide the details.
PROBLEM 2. 14 pointsl European call and put options with exercise price $22.5 and expiration time in six months are trading at $4.12 and $7.42....
4- Consider two call options on the same underlying stock and same expiration date. You buy the call with X=40, and sell the call with X=50. What is the payoff from your position if the stock prices ends at $32? What is the highest payoff from this position? What is the lowest payoff from this position? When would you engage in such a position? PS: In all questions above X denotes the exercise price of the options, C=call premium, P=put...
Consider three call options on the same underlying stock and same expiration date. You buy the call with X=40, buy the call with X=30, and sell two calls with X=35. What is the payoff from your position if the stock prices ends at $32? What is the highest payoff from this position? What is the lowest payoff from this position? For you to engage in such a position, what are your expectations about the stock price? PS: In all questions...
10 Answer the following a. Suppose data are collected for a certain stock: Stock price Call price (1-year expiration, E $105) Put price (1-year expiration, E 105) $110 $17 $5 5% per year Risk-free interest rate Is there a mispricing of the call and put? If yes, can you exploit this mispricing to create arbitrage proft? b. Design a portfolio using only call options and the underlying stock with the following payoff at expiration: 0 10 20 30 40 S0...
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