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The current stock price of Noole Inc is $56, and the stock does not pay dividends....
The current stock price of International Paper is $69, and the stock does not pay dividends. The instantaneous risk-free rate of return is 10%. The instantaneous standard deviation of International Paper's stock is 25%. You want to purchase a call option on this stock with an exercise price of $70 and an expiration date 73 days from now. Using the Black-Scholes OPM, the put option should be worth __________ today. $1.50 $2.88 $2.55 $3.00
The current stock price of Johnson & Johnson is $50, and the stock does not pay dividends. The instantaneous risk-free rate of return is 3%. The instantaneous standard deviation of J&J's stock is 30%. You want to purchase a put option on this stock with an exercise price of $41 and an expiration date 55 days from now. Using Black-Scholes, the put option should be worth ______ today.
Roslin Robotics stock has a volatility of 26% and a current stock price of $56 per share. Roslin pays no dividends. The risk-free interest is 6%. Determine the Black-Scholes value of a one-year, at-the-money call option on Roslin stock.
please show steps and formula. thanks. 10 6 Q F R F G H K Enter C V B Shift Alt Alt cate A) LIBOR B) 17%CLIBOR+ 1% D) LIBOR-1% 18) The current stock price of Alcoco is $70, and the stock does not pay dividends. The instantaneous risk-free rate of return is 6%. The instantaneous standard deviation of Alcoco's stock is 40%. You want to purchase a put option on this stock with an exercise price of $75 and...
Assume the Black-Scholes framework for options pricing. You are a portfolio manager and already have a long position in Apple (ticker: AAPL). You want to protect your long position against losses and decide to buy a European put option on AAPL with a strike price of $180.15 and an expiration date of 1-year from today. The continuously compounded risk free interest rate is 8% and the stock pays no dividends. The current stock price for AAPL is $200 and its...
A stock has a current price of $60. Each month the price rises by 10% or falls by 5%, with equal probability. The monthly risk-free rate is 1%. a) Find the current price of a European put option on the stock with two months until expiration and exercise price of $65. (5 points) b) Consider an option trader who has sold a call option on the stock with exercise price of $58 and two months until expiration. How many shares...
Consider a stock with a price with S = 100 and pays no dividends. The annual risk-free is 10%. A European put option on the stock with a strike price 90 and an expiration date three months from now has a price of 10. What is the price of a European call option on this stock with the same strike price and expiration date?
Problem 2 (15 points) 10 noitz 2.102/ What is the value of a call option, put option and deltas given the Black-Scholes model and the following information? Stock price = $76 Exercise price = $70 Time to expiration = 9 months o Risk-free rate = 5% Standard deviation = 49%
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
4. Assume the following for a stock and a call and a put option written on the stock. EXERCISE PRICE = $20 CURRENT STOCK PRICE = $22 VARIANCE = .25 TIME TO EXPIRATION = 4 MONTHS RISK FREE RATE = 3% B) Use the Black Scholes procedure to determine the value of the call option and the value of a put.