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Homework #4 1-A three-month European put option on a non-dividend-paying stock is currently selling for $1.57....
A four-month European put option on a non-dividend-paying stock is currently selling for $2. The stock...
A four-month European put option on a non-dividend-paying stock is currently selling for $2. The stock price is $45, the strike price is $50, and the risk-free interest rate is 12% per annum. Is there an arbitrage opportunity? Show the arbitrage transactions now and in four months.
A six-month European call option on a non-dividend-paying stock is currently selling for $6. The stock...
A six-month European call option on a non-dividend-paying stock is currently selling for $6. The stock price is$64, the strike price is S60. The risk-free interest rate is 12% per annum for all maturities. what opportunities are there for an arbitrageur? (2 points) 1. a. What should be the minimum price of the call option? Does an arbitrage opportunity exist? b. How would you form an arbitrage? What is the arbitrage profit at Time 0? Complete the following table. c....
A 2-month European put option on a non-dividend paying stock is currently selling for $2. The...
A 2-month European put option on a non-dividend paying stock is currently selling for $2. The stock price is $47, the strike price is $50, and the risk-free rate is 6% per year (with continuous compounding) for all maturities. Does this create any arbitrage opportunity? Why? Design a strategy to take advantage of this opportunity and specify the profit you make.
(b) A 6-month European call option on a non-dividend paying stock is cur- rently selling for $3. The stock price is...
(b) A 6-month European call option on a non-dividend paying stock is cur- rently selling for $3. The stock price is $50, the strike price is $55, and the risk-free interest rate is 6% per annum continuously compounded. The price for 6-months European put option with same strike, underlying and maturity is 82. What opportunities are there for an arbitrageur? Describe the strategy and compute the gain.
Problem 1. 1. Calculate the price of a six-month European put option on a non-dividend-paying stock...
Problem 1. 1. Calculate the price of a six-month European put option on a non-dividend-paying stock with an exercise price of $90 when the current stock price is $100, the annualized riskless rate of interest is 3%, and the volatility is 40% per year. 2. Calculate the price of a six-month European call option with an exercise price on this same stock a non-dividend-paying stock with an exercise price of $90. Problem 2. Re-calculate the put and call option prices...
What is the price of a European put option on a non-dividend-paying stock when the stock...
What is the price of a European put option on a non-dividend-paying stock when the stock price is $69, the strike price is $70, the risk-free interest rate is 5% per annum, the volatility is 35% per annum, and the time to maturity is six months?
5) A three-month European put option is written on a stock that provides a continuous dividend...
5) A three-month European put option is written on a stock that provides a continuous dividend yield of 2%; the strike price is $95, the risk-free rate is 2% and the stock's volatility is 40%. Assume that the stock is currently selling for $90. What is the price of the put?
What is the price of a European put option on a non-dividend paying stock when the...
What is the price of a European put option on a non-dividend paying stock when the stock price is $69, the strike price is $70, the risk-free interest rate is 5% per annum, the volatility is 35%per annum, and the time to maturity is six months? Please give me step by step by step instructions.
The price of a European call option on a non-dividend-paying stock with a strike price of...
The price of a European call option on a non-dividend-paying stock with a strike price of $50 is $6. The stock price is $51, the continuously compounded risk-free rate (all maturities) is 6% and the time to maturity is one year. What is the price of a one-year European put option on the stock with a strike price of $50? $2.09 $7.52 $3.58 $9.91
Consider a European put option on a non-dividend-paying stock. The current stock price is $69, the...
Consider a European put option on a non-dividend-paying stock. The current stock price is $69, the strike price is $70, the risk-free interest rate is 5% per annum, the volatility is 35% per annum and the time to maturity is 6 months. a. Use the Black-Scholes model to calculate the put price. b. Calculate the corresponding call option using the put-call parity relation. Use the Option Calculator Spreadsheet to verify your result.
A six-month European call option on a non-dividend-paying stock is currently selling for $6. The stock price is$64, the strike price is S60. The risk-free interest rate is 12% per annum for all maturities. what opportunities are there for an arbitrageur? (2 points) 1. a. What should be the minimum price of the call option? Does an arbitrage opportunity exist? b. How would you form an arbitrage? What is the arbitrage profit at Time 0? Complete the following table. c....
(b) A 6-month European call option on a non-dividend paying stock is cur- rently selling for $3. The stock price is $50, the strike price is $55, and the risk-free interest rate is 6% per annum continuously compounded. The price for 6-months European put option with same strike, underlying and maturity is 82. What opportunities are there for an arbitrageur? Describe the strategy and compute the gain.
5) A three-month European put option is written on a stock that provides a continuous dividend yield of 2%; the strike price is $95, the risk-free rate is 2% and the stock's volatility is 40%. Assume that the stock is currently selling for $90. What is the price of the put?
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