2. (a) State the Black-Scholes formulas for the prices at time 0 of a European call and put options on a non-dividend-paying stock ABC.
(b) Consider an option on a non-dividend paying stock when the stock price is $30, the exercise price is $29, the risk-free interest rate is 5% per annum, the volatility is 20% per annum, and the time to maturity is 5 months. What is the price of the option if it is a European call?
(a) State the Black-Scholes formulas for the prices at time 0 of a European call and put options on a non-dividend-paying stock ABC
Consider an option on a non-dividend-paying stock when the stock price is $30, the exercise price is $29, the risk-free interest rate is 5% per annum, the volatility is 25% per annum, and the time to maturity is four months. Use the Black-Scholes-Merton formula. What is the price of the option if it is a European call? What is the price of the option if it is an American call? What is the price of the option if it is...
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.
Consider an option on a non-dividend paying stock when the stock price is $90, the exercise price is $98 the risk-free rate is 7% per annum, the volatility is 49% per annum, and the time to maturity is 9-months. a. Compute the prices of Call and Put option on the stock using Black & Scholes formula. b. Using above information, does put-call parity hold? Why?c. What happens if put-call parity does not hold?
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...
6) Consider an option on a non-dividend paying stock when the stock price is $38, the exercise price is $40, the risk-free interest rate is 6% per annum, the volatility is 30% per annum, and the time to maturity is six months. Using Black-Scholes Model, calculating manually, a. What is the price of the option if it is a European call? b. What is the price of the option if it is a European put? c. Show that the put-call...
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...
5.8. The prices of European call and put options on a non-dividend-paying stock with 15 months to maturity, a strike price of $118, and an expiration date in 15 months are $21 and $5, respectively. The current stock price is $125. What is the implied risk-free rate?
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?
QUESTION # 10 Consider an option on a non-dividend paying stock when the stock price is $90, the exercise price is $98 the risk-free rate is 7% per annum, the volatility is 49% per annum, and the time to maturity is 9-months. a. Compute the prices of Call and Put option on the stock using Black & Scholes formula. b. Using above information, does put-call parity hold? Why?-dNCa) c. What happens if put-call parity does not hold? [Max. Marks =...
Problem 4.2 (15.30 in Hull) Consider an option on a non-dividend-paying stock when the stock price is $30, the exercise price is $29, the risk-free interest rate is 5%, the volatility is 25% per annum, and the time to maturity is 4 months. (a) what is the price of the option is it is a European call? (b) what is the price of the option if it is an American call? (c) what is the price of the option if...