The current price of a stock is $ 48.36 and the annual risk-free rate is 5.3...
The current price of a stock is $ 48.36 and the annual risk-free rate is 5.3 percent. A put option with an exercise price of $55 and one year until expiration has a current value of $ 7.82 . What is the value of a call option written on the stock with the same exercise price and expiration date as the put option? Show your answer to the nearest .01. Do not use $ or , in your answer. Because of the limitations of WEBCT random numbers, some of the options may be trading below their intrinsic value. Note, the given interest rate is an effective rate, so for calculation purposes, you need only discount the using the risk free rate, no e x adjustment is needed.
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The current price of a stock is $ 48.36 and the annual risk-free
rate is 5.3...
The current price of a stock is $ 53.15 and the annual risk-free rate is 6.6...
The current price of a stock is $ 53.15 and the annual risk-free rate is 6.6 percent. A put option with an exercise price of $55 and one year until expiration has a current value of $ 4.98 . What is the value of a call option written on the stock with the same exercise price and expiration date as the put option? Note, the given interest rate is an effective rate, so for calculation purposes, you need only discount...
Question 5 (10 points) Suppose you believe that Du Pont's stock price is going to decline...
Question 5 (10 points) Suppose you believe that Du Pont's stock price is going to decline from its current level of $ 82.09 sometime during the next 5 months. For $ 717.05 you could buy a 5-month put option giving you the right to sell 100 shares at a price of $ 84 per share. If you bought a 100-share contract for $ 717.05 and Du Pont's stock price actually changed to $ 70.62 , your net profit (or loss)...
The current price of a stock is $33, and the annual risk-free rate is 6%. A...
The current price of a stock is $33, and the annual risk-free rate is 6%. A call option with a strike price of $31 and with 1 year until expiration has a current value of $6.22. What is the value of a put option written on the stock with the same exercise price and expiration date as the call option? Do not round intermediate calculations. Round your answer to the nearest cent.
Put-Call Parity The current price of a stock is $35, and the annual risk-free rate is...
Put-Call Parity The current price of a stock is $35, and the annual risk-free rate is 3%. A call option with a strike price of $31 and with 1 year until expiration has a current value of $6.60. What is the value of a put option written on the stock with the same exercise price and expiration date as the call option? Do not round intermediate calculations. Round your answer to the nearest cent. How do you calculate the negative...
1a) The current price of a stock is $43, and the continuously compounded risk-free rate is...
1a) The current price of a stock is $43, and the continuously compounded risk-free rate is 7.5%. The stock pays a continuous dividend yield of 1%. A European call option with a exercise price of $35 and 9 months until expiration has a current value of $11.08. What is the value of a European put option written on the stock with the same exercise price and expiration date as the call? Answers: a. $5.17 b. $3.08 c. $1.49 d. $2.50...
Problem1 A stock is currently trading at S $40, during next 6 months stock price will increase to $44 or decrease to $32-6-month risk-free rate is rf-2%. a. [4pts) What positions in stock and T-...
Problem1 A stock is currently trading at S $40, during next 6 months stock price will increase to $44 or decrease to $32-6-month risk-free rate is rf-2%. a. [4pts) What positions in stock and T-bills will you put to replicate the pay off of a European call option with K = $38 and maturing in 6 months. b. 1pt What is the value of this European call option? Problem 2 Suppose that stock price will increase 5% and decrease 5%...
A put option on a stock with a current price of $53 has an exercise price...
A put option on a stock with a current price of $53 has an exercise price of $55. The price of the corresponding call option is $5.25. According to put-call parity, if the effective annual risk-free rate of interest is 5% and there are four months until expiration, what should be the price of the put?
10 Answer the following a. Suppose data are collected for a certain stock: Stock price Call...
10 Answer the following a. Suppose data are collected for a certain stock: Stock price Call price (1-year expiration, E $105) Put price (1-year expiration, E 105) $110 $17 $5 5% per year Risk-free interest rate Is there a mispricing of the call and put? If yes, can you exploit this mispricing to create arbitrage proft? b. Design a portfolio using only call options and the underlying stock with the following payoff at expiration: 0 10 20 30 40 S0...
4. Assume the following for a stock and a call and a put option written on...
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.
A put option on a stock with a current price of $38 has an exercise price...
A put option on a stock with a current price of $38 has an exercise price of $40. The price of the corresponding call option is $3.00. According to put-call parity, if the effective annual risk-free rate of interest is 5% and there are four months until expiration, what should be the price of the put? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Price of the put
Question 5 (10 points) Suppose you believe that Du Pont's stock price is going to decline from its current level of $ 82.09 sometime during the next 5 months. For $ 717.05 you could buy a 5-month put option giving you the right to sell 100 shares at a price of $ 84 per share. If you bought a 100-share contract for $ 717.05 and Du Pont's stock price actually changed to $ 70.62 , your net profit (or loss)...
Problem1 A stock is currently trading at S $40, during next 6 months stock price will increase to $44 or decrease to $32-6-month risk-free rate is rf-2%. a. [4pts) What positions in stock and T-bills will you put to replicate the pay off of a European call option with K = $38 and maturing in 6 months. b. 1pt What is the value of this European call option? Problem 2 Suppose that stock price will increase 5% and decrease 5%...
10 Answer the following a. Suppose data are collected for a certain stock: Stock price Call price (1-year expiration, E $105) Put price (1-year expiration, E 105) $110 $17 $5 5% per year Risk-free interest rate Is there a mispricing of the call and put? If yes, can you exploit this mispricing to create arbitrage proft? b. Design a portfolio using only call options and the underlying stock with the following payoff at expiration: 0 10 20 30 40 S0...
A put option on a stock with a current price of $38 has an exercise price of $40. The price of the corresponding call option is $3.00. According to put-call parity, if the effective annual risk-free rate of interest is 5% and there are four months until expiration, what should be the price of the put? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Price of the put
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