URGENT! The value of a call option increases with all of the following except ________. stock...
URGENT!
The value of a call option increases with all of the following except ________.
|
stock price |
||
|
time to maturity |
||
|
volatility |
||
|
dividend yield |
Homework Answers
Add Answer to:
URGENT!
The value of a call option increases with all of the following
except ________.
stock...
All of the following affect the value of a call option except the: Multiple Choice A...
All of the following affect the value of a call option except the: Multiple Choice A strike price. B stock price. C standard deviation of the returns on a risk-free asset. D continuously compounded risk-free rate. E time to maturity.
A bank has written a call option on one stock and a put option on another stock. For the first option the stock price is...
A bank has written a call option on one stock and a put option on another stock. For the first option the stock price is 50, the strike price is 51, the volatility is 28% per annum, and the time to maturity is 9 months. For the second option the stock price is 20, the strike price is 19, and the volatility is 25% per annum, and the time to maturity is 1 year. Neither stock pays a dividend. The...
A call option on a non-dividend-paying stock has a market price of $2. The stock price...
A call option on a non-dividend-paying stock has a market price of $2. The stock price is $15, the exercise price is $13, the time to maturity is three months, and the risk-free interest rate is 5% per annum. What is the implied volatility?
Section B) A bank has written a call option on one stock and a put option on another stock. For the first option the sto...
Section B) A bank has written a call option on one stock and a put option on another stock. For the first option the stock price is 50, the strike price is 51, the volatility is 28% per annum, and the time to maturity is 9 months. For the second option the stock price is 20, the strike price is 19, and the volatility is 25% per annum, and the time to maturity is 1 year. Neither stock pays a...
1. Consider the following information about a European call option on stock ABC: . The strike...
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%
Question 3 - 20 Points Consider a European call option on a non-dividend-paying stock where the...
Question 3 - 20 Points Consider a European call option on a non-dividend-paying stock where the stock price is $33, the strike price is $36, the risk-free rate is 6% per annum, the volatility is 25% per annum and the time to maturity is 6 months. (a) Calculate u and d for a one-step binomial tree. (b) Value the option using a non arbitrage argument. (c) Assume that the option is a put instead of a call. Value the option...
5.What is the value of a call option if the underlying stock price is $78, the...
5.What is the value of a call option if the underlying stock price is $78, the strike price is $80, the underlying stock volatility is 42 percent, and the risk-free rate is 5.5 percent? Assume the option has 110 days to expiration. 6. Suppose you buy one SPX call option contract with a strike of 1300. At maturity, the S&P 500 Index is at 1321. What is your net gain or loss if the premium you paid was $14?
Problem 12.25. Consider a European call option on a non-dividend-paying stock where the stock price is $40, the strike price is $40, the risk-free rate is 4% per annum, the volatility is 30% per annu...
Problem 12.25. Consider a European call option on a non-dividend-paying stock where the stock price is $40, the strike price is $40, the risk-free rate is 4% per annum, the volatility is 30% per annum, and the time to maturity is six months a. Calculate u, d, and p for a two step tree b. Value the option using a two step tree. c. Verify that DerivaGem gives the same answer d. Use DerivaGem to value the option with 5,...
4) A nine-month European call option is written on a stock that provides a continuous dividend...
4) A nine-month European call option is written on a stock that provides a continuous dividend yield of 4%; the strike price is $110, the risk-free rate is 2% and the stock's volatility is 30%. Assume that the stock is currently selling for $115. What is the price of the call?
Calculate the value of a three-month at-the-money European call option on a stock index when the...
Calculate the value of a three-month at-the-money European call option on a stock index when the index is at 250, the risk-free interest rate is 10% per annum, the volatility of the index is 18% per annum, and the dividend yield on the index is 3% per annum.
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%
Question 3 - 20 Points Consider a European call option on a non-dividend-paying stock where the stock price is $33, the strike price is $36, the risk-free rate is 6% per annum, the volatility is 25% per annum and the time to maturity is 6 months. (a) Calculate u and d for a one-step binomial tree. (b) Value the option using a non arbitrage argument. (c) Assume that the option is a put instead of a call. Value the option...
Problem 12.25. Consider a European call option on a non-dividend-paying stock where the stock price is $40, the strike price is $40, the risk-free rate is 4% per annum, the volatility is 30% per annum, and the time to maturity is six months a. Calculate u, d, and p for a two step tree b. Value the option using a two step tree. c. Verify that DerivaGem gives the same answer d. Use DerivaGem to value the option with 5,...
4) A nine-month European call option is written on a stock that provides a continuous dividend yield of 4%; the strike price is $110, the risk-free rate is 2% and the stock's volatility is 30%. Assume that the stock is currently selling for $115. What is the price of the call?
Most questions answered within 3 hours.
-
A golfer claims that his average golf score at the course he
plays regularly is less...
asked 7 minutes ago -
On May 1, First Bank perfected a security interest in Debtor’s
inventory. On June 1, Bob...
asked 48 minutes ago -
A new kind of typhoid shot is being developed by a medical
research team. The old...
asked 2 hours ago -
Write a chemical equation for these reactions. (Use
the lowest possible whole number coefficients.) Include
states-of-matter...
asked 4 hours ago -
For each of the Z-scores below, determine two probabilities
(show four three decimal places): (1) the...
asked 4 hours ago -
Oxidative phosphorylation is achieved through chemiosmotic
coupling, which turns chemical energy into osmotic potential energy
that...
asked 7 hours ago -
Hollywood Shoes would like to maintain their cash account at a
minimum level of $64,000, but...
asked 7 hours ago -
Proteins CtrA-P, DnaA, and GcrA behave similarly to what
molecule in the Eukaryotic Cell Cycle?
asked 7 hours ago -
TRUE OR FALSE
In case of a competitive tender procedure, in the request for
quotation, the...
asked 7 hours ago -
I am a little behind please provide some explanation, will
provide thumbs up.
This question considers...
asked 7 hours ago -
Let say the utility function as U(X,Y) = lnX + Y. Show that the
marginal rate...
asked 7 hours ago -
A current of I=8.0A is flowing in a typical extension cord of
length L=3.00m. The cord...
asked 7 hours ago