options greek
Consider a stock selling for $100, with volatility (standard deviation) of 30% per year. The stock pays no dividends. The risk-free continuously compounded interest rate is 4%. Now consider a call option on this stock with strike price 95 and 3-month maturity.
What is the delta of the call?
What is the elasticity of the call?
What is the gamma of the call?
What is the vega of the call?
What is the theta of the call? (Your answer should be a negative number.)
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Consider a stock selling for $100, with volatility (standard deviation) of 30% per year. The stock...
Consider a stock selling for $100, with volatility (standard deviation) of 30% per year. The stock pays no dividends. The risk-free continuously compounded interest rate is 4%. What is the Black-Scholes value of a call option on this stock with strike price 95 and 3-month maturity?
Consider a stock selling for $100, with volatility (standard deviation) of 30% per year. The stock...
Consider a stock selling for $100, with volatility (standard deviation) of 30% per year. The stock pays no dividends. The risk-free continuously compounded interest rate is 4%. What is the Black-Scholes value of a call option on this stock with strike price 95 and 3-month maturity?
B. decreases by approximately 4.3%. C. decreases by approximately $1.72. Answer C The put option will...
B. decreases by approximately 4.3%. C. decreases by approximately $1.72. Answer C The put option will decrease in value as the underlying stock price increases: -0.43 x S4 S1.72. 100,000 Stocks Call Option sold has the following details. The stock price is $49, the strike price is $50, the risk-free rate is 5%, the stock price volatility is 20%, and the time to exercise is 20 weeks or 20/52 year. Table below shows Delta, Gamma, Vega, Theta and Rho for...
15. The following options are available on XYZ stock: | Туре Call Put $30 $30 |...
15. The following options are available on XYZ stock: | Туре Call Put $30 $30 | 1.00 1.25 Delta 0.703 -0.292 Gamma 0.036 0.032 The stock is currently priced at $32 and has a volatility (0) of 30% p.a. The continuously compounded risk-free rate is 5% p.a. The Black-Scholes option pricing model values the call at $5.60 and the put at $2.14. (a) Assume an options trader sells an XYZ call option, what position must she take in the stock...
Opion Raitr Call Option sold has the following details. The stock price is $49, the 100,000...
Opion Raitr Call Option sold has the following details. The stock price is $49, the 100,000 Stocks the nsk-free rate is 5%, the stock price volatility is 20%, and the time 20 weeks or 20/52 year. Table below shows Delta, Gamma, Vega, Theta, position in one option) to and Rho for the option (i e, for a long Single Option Value (S) Delta (per $) Gamma (per S) Vega (per %) Theta (per day) Rho (per %) $2.40 0.522 0.066...
IBM stock currently sells for 100 dollars per share. The implied volatility equals 20.0. The risk-free...
IBM stock currently sells for 100 dollars per share. The implied volatility equals 20.0. The risk-free rate of interest is 4.0 percent continuously compounded. What is the value of a call option with strike price 95 and maturity 6 months? Answer should be to the nearest cent (2 decimal places).
The current price of stock XYZ is $100. Stock pays dividends at the continuously compounded yield...
The current price of stock XYZ is $100. Stock pays dividends at the continuously compounded yield rate of 4%. The continuously compounded risk-free rate is 5% annually. In one year, the stock price may be 115 or 90. The expected continuously compounded rate of return on the stock is 10%. Consider a 105-strike 1-year European call option. Find the continuously compounded expected rate of discount γ for the call option.
25. The price of a stock with no dividends, is $35 and the strike price of...
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...
You observe a premium of $44.00 for a call option on Birdwell Enterprises common stock, which...
You observe a premium of $44.00 for a call option on Birdwell Enterprises common stock, which is currently selling for $44. The strike E price on the call option is $44. The option has four months to maturity. The stock pays no dividends. The current risk-free interest rate is 3.00%. What is the implied volatility of the stock? (Round your answer to the nearest whole percent.) Implied volatility %
Check my work You observe a premium of $46.00 for a call option on Birdwell Enterprises...
Check my work You observe a premium of $46.00 for a call option on Birdwell Enterprises common stock, which is currently selling for $46. The strike price on the call option is $47. The option has four months to maturity. The stock pays no dividends. The current risk-free interest rate is 3.50%. What is the implied volatility of the stock? (Round your answer to the nearest whole percent.) Implied volatility %
B. decreases by approximately 4.3%. C. decreases by approximately $1.72. Answer C The put option will decrease in value as the underlying stock price increases: -0.43 x S4 S1.72. 100,000 Stocks Call Option sold has the following details. The stock price is $49, the strike price is $50, the risk-free rate is 5%, the stock price volatility is 20%, and the time to exercise is 20 weeks or 20/52 year. Table below shows Delta, Gamma, Vega, Theta and Rho for...
15. The following options are available on XYZ stock: | Туре Call Put $30 $30 | 1.00 1.25 Delta 0.703 -0.292 Gamma 0.036 0.032 The stock is currently priced at $32 and has a volatility (0) of 30% p.a. The continuously compounded risk-free rate is 5% p.a. The Black-Scholes option pricing model values the call at $5.60 and the put at $2.14. (a) Assume an options trader sells an XYZ call option, what position must she take in the stock...
Opion Raitr Call Option sold has the following details. The stock price is $49, the 100,000 Stocks the nsk-free rate is 5%, the stock price volatility is 20%, and the time 20 weeks or 20/52 year. Table below shows Delta, Gamma, Vega, Theta, position in one option) to and Rho for the option (i e, for a long Single Option Value (S) Delta (per $) Gamma (per S) Vega (per %) Theta (per day) Rho (per %) $2.40 0.522 0.066...
IBM stock currently sells for 100 dollars per share. The implied volatility equals 20.0. The risk-free rate of interest is 4.0 percent continuously compounded. What is the value of a call option with strike price 95 and maturity 6 months? Answer should be to the nearest cent (2 decimal places).
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...
You observe a premium of $44.00 for a call option on Birdwell Enterprises common stock, which is currently selling for $44. The strike E price on the call option is $44. The option has four months to maturity. The stock pays no dividends. The current risk-free interest rate is 3.00%. What is the implied volatility of the stock? (Round your answer to the nearest whole percent.) Implied volatility %
Check my work You observe a premium of $46.00 for a call option on Birdwell Enterprises common stock, which is currently selling for $46. The strike price on the call option is $47. The option has four months to maturity. The stock pays no dividends. The current risk-free interest rate is 3.50%. What is the implied volatility of the stock? (Round your answer to the nearest whole percent.) Implied volatility %
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