What is the lower bound of the November 110 call?
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2. Given current price of European call options with three different strike prices K 80 100 110 140 5.0 2.6 c(K) 14.0 Find an upper bound of the price of the call option with strike 100, c(100), by using the information of c (80) and c(110).
The following quotes were observed for options on a given stock on November 1 of a given year. These are American calls except where indicated. Calls Puts Strike Nov Dec Jan Nov Dec Jan 105 8.375 10 11.5 5.3125 1.25 2 110 4.375 7.125 8.25 0.9375 2.50 3.75 115 1.50 3.875 5.25 2.8125 4.75 4.75 The stock price was 113.25. The risk-free rates were 7.30 percent (November), 7.50 percent (December) and 7.62 percent (January). The times to expiration were .0384...
The following quotes were observed for options on a given stock on November 1 of a given year. These are American calls except where indicated. Use the information to answer questions 19 through 24. Calls Puts Dec Nov Dec Jan Nov Jan 83/8 10 11 1/2 5/16 Strike 105 110 115 71/8 8 1/4 33/4 4 3/8 112 15/16 2 13/16 2 1/2 4 3/4 1 3 7/8 51/4 4 3/4 The stock price was 113 1/4. The risk-free rates...
The following quotes were observed for options on a given stock on November 1 of a given year. These are American calls except where indicated. Calls Puts Strike Nov Dec Jan Nov Dec Jan 105 8.38 10 11.5 0.31 1.25 2 110 4.38 7.13 8.25 0.94 3 3.75 115 1.50 3.88 5.25 2.81 4.75 4.75 The stock price was 113.25. The risk-free rates were 7.30 percent (November), 7.50 percent (December) and 7.62 percent (January). The times to expiration were .0384...
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...
8. Derivatives 8a. What is a lower bound for the price of a two-month call option on a non-dividend-paying stock when the stock price is $29, the strike price is $24, and the risk-free interest rate is 4% per annum? 8b. Please show the arbitrage strategy if the price of this option is below the lower bound. 8c. What if there is a $3 cash dividend in 1 month, what would be the new lower bound?
IfXis a random variable with mean 5 and standard deviation 10, useChebyshev’s inequality to find (a) A lower bound forP(−110<−2X <90) (b) An upper bound forP(|X−5|≥√110)
The price of a stock, which pays no dividends, is $30 and the strike price of a one year European call option on the stock is $25. The risk-free rate is 4% and is continuously compounded. Which of the following is a lower bound for the 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? $5.98 $3.98 $6.98 $4.98
What is a lower bound for the price of a 6 month call option on a non-dividend paying stock when the stock price is $65, the strike price is $60 and the risk-free rate is 8% per annum?
A combination of Long 1 Put at K1, Short 2 Puts at K2, Short 100 shares of Stock at K2 and Long 1 Call at K(3) is an example of: O A Strangle O B Straddle C Bull Spread O D Butterfly Given: S(0) 50; r 0.05; T 6 months; K49. What is a lower bound for an American Call Option on non-dividend paying stock? O A C<or 50 O B Cor 2.21 c c>or=1