You are given the following information concerning options on a particular stock: Stock price =...
| You are given the following information concerning options on a particular stock: |
| Stock price | = | $68 |
| Exercise price | = | $65 |
| Risk-free rate | = | 5% per year, compounded continuously |
| Maturity | = | 6 months |
| Standard deviation | = | 34% per year |
| a. |
What is the intrinsic value of each option? (Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations.) |
| Value | |
| Call option | $ |
| Put option | $ |
| b. |
What is the time value of each option? (Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.) |
| Value | |
| Call option | $ |
| Put option | $ |
Homework Answers
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You are given the following information concerning options on a
particular stock:
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You are given the following information concerning options on a particular stock: Stock price =...
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You are given the following information concerning options on a particular stock: Stock price = $83 Exercise price = $80 Risk-free rate = 6% per year, compounded continuously Maturity = 6 months Standard deviation = 53% per year a). What are the prices of a call option and a put option with the above characteristics? b). What is the intrinsic value of the call option? The put option? c). What is the time value of the call option? The put...
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A put option that expires in six months with an exercise price of $45 sells for $2.34. The stock is currently priced at $48, and the risk-free rate is 3.5 percent per year, compounded continuously. What is the price of a call option with the same exercise price? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Call priceſ A call option with an exercise price of $70 and four months to expiration has...
What are the prices of a call option and a put option with the following characteristics?...
What are the prices of a call option and a put option with the following characteristics? (Do not round intermediate calculations and round your final answers to 2 decimal places. (e.g., 32.16)) Stock price = $85 Exercise price = $80 Risk-free rate = 3.80% per year, compounded continuously Maturity = 5 months Standard deviation = 55% per year Call price $ Put price $
What are the prices of a call option and a put option with the following characteristics?...
What are the prices of a call option and a put option with the following characteristics? (Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.) Stock price = $86 Exercise price = $85 Risk-free rate = 5.00% per year, compounded continuously Maturity = 4 months Standard deviation = 62% per year Call price $ Put price $
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The following information is given about options on the stock of a certain company: S0 = $80, X =$70, r =10% per year (continuously compounded), T = 9 months, s= 0.30 No dividends are expected. One option contract is for 100 shares of the stock. All notations are used in the same way as in the Black-Scholes-Merton Model. What is the European call option price and European put option price, according to the Black-Scholes model? What is the cost of...
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The price of Swearengen, Inc., stock will be either $65 or $87 at the end of...
The price of Swearengen, Inc., stock will be either $65 or $87 at the end of the year. Call options are available with one year to expiration. T-bills currently yield 3 percent. a. Suppose the current price of the company's stock is $76. What is the value of the call option if the exercise price is $61 per share? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Call value $ ...
Please Show all work and formulas What are the prices of a call option and a...
Please Show all work and
formulas
What are the prices of a call option and a put option with the following characteristics? (Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.) Stock price = $89 Exercise price = $85 __ 4.00% per year, compounded Risk-free rate = continuously Maturity = 4 months Standard _ * = 53% per year deviation Call price Put price
A put option that expires in six months with an exercise price of $45 sells for $2.34. The stock is currently priced at $48, and the risk-free rate is 3.5 percent per year, compounded continuously. What is the price of a call option with the same exercise price? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Call priceſ A call option with an exercise price of $70 and four months to expiration has...
Saved In addition to the five factors, dividends also affect the price of an option. The Black- Scholes Option Pricing Model with dividends is: All of the variables are the same as the Black-Scholes model without dividends except for the variable d, which for the varable d, which continuously compounde is the continuously compounded dividend yield on the stock The put call party condition is also altered when dividends are paid. The dividend- adjusted put-call parity formula is: where dis...
Please Show all work and
formulas
What are the prices of a call option and a put option with the following characteristics? (Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.) Stock price = $89 Exercise price = $85 __ 4.00% per year, compounded Risk-free rate = continuously Maturity = 4 months Standard _ * = 53% per year deviation Call price Put price
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