Suppose the volatility σ of the stock gets larger and larger. What is the theoretical value of the option in the limit?...
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Suppose the volatility σ of the stock gets larger and larger. What is the theoretical value of the option in the limit?...
Suppose the volatility σ of the stock gets larger and larger. What is the theoretical value...
Suppose the volatility σ of the stock gets larger and larger. What is the theoretical value of the option in the limit? Prove your answer.
Implied volatility has what kind of relationship to the value of a stock option price? Negative...
Implied volatility has what kind of relationship to the value of a stock option price? Negative Uncorrelated Depends on if you are buying a put or call Positive
Suppose you are attempting to value a 1-year expiration option on a stock with volatility (i.e.,...
Suppose you are attempting to value a 1-year expiration option on a stock with volatility (i.e., annualized standard deviation) of o = 0.35. a. 1 period of 1 year. b. 4 subperiods, each 3 months. c. 12 subperiods, each 1 month. What would be the appropriate values for u and dif your binomial model is set up using: (Do not round intermediate calculations. Round your answers to 4 decimal places.) u = explov At) | d = exp(-ov At) |...
Suppose you are attempting to value a 1-year expiration option on a stock with volatility (i.e.,...
Suppose you are attempting to value a 1-year expiration option on a stock with volatility (i.e., annualized standard deviation) of o = 0.37. a. 1 period of 1 year b. 4 subperiods, each 3 months. 12 subperiods, each 1 month. С. What would be the appropriate values for u and dif your binomial model is set up using: (Do not round intermediate calculations. Round your answers to 4 decimal places.) exp(-oAt) u = exp (σν Δt) Subperiods At = T/n...
Value of a stock is currently at $40. Volatility of that stock is 30% per year...
Value of a stock is currently at $40. Volatility of that stock is 30% per year and risk-free interest rate with continuous compounding is at 5% per year. Suppose you are planning to value a 3-month European call option with strike price at $41 using a two-step binomial model. Answer the following using this information. (Binomial Tree Approach to Option Valuation describe how to solve this problem) What are the values of u, d and q?
5.What is the value of a call option if the underlying stock price is $78, the...
5.What is the value of a call option if the underlying stock price is $78, the strike price is $80, the underlying stock volatility is 42 percent, and the risk-free rate is 5.5 percent? Assume the option has 110 days to expiration. 6. Suppose you buy one SPX call option contract with a strike of 1300. At maturity, the S&P 500 Index is at 1321. What is your net gain or loss if the premium you paid was $14?
What is the value of a call option if the underlying stock price is $67, the...
What is the value of a call option if the underlying stock price is $67, the strike price is $69, the underlying stock volatility is 31 percent, and the risk-free rate is 4 percent? Assume the option has 110 days to expiration. (Use 365 days in a year. Do not round intermediate calculations. Round your answer to 2 decimal places.) Value of a call option? *Please note that this is the complete question and no other info is available. Also,...
(1 point) A stock currently trades at $44, and the volatility of its return is 46%....
(1 point) A stock currently trades at $44, and the volatility of
its return is 46%. The continuously compounded rate of interest is
3%. Consider a call option struck at $49, with 100 days to
expiration (recall that there are 251 trading days in one
year).
a) What is the price of the option (rounded to the nearest
cent)?
b) What is the option's delta (rounded to four decimal
places)?
c) Use your answer from (b) to estimate the value...
The Call option on the stock has a $13 exercise price and one-year maturity. The volatility...
The Call option on the stock has a $13 exercise price and one-year maturity. The volatility of the stock is 10%. The probability of an up or down movement is an equal 50%. The risk-free interest rate is 6% per annum The current stock price is $13. Stock movement is 2 times a year. Value the premium of the option based on Binomial Model.
Suppose Ford Motor stock has an expected return of 16% and a volatility of 40%, and...
Suppose Ford Motor stock has an expected return of 16% and a volatility of 40%, and Molson Coors Brewing has an expected return of 14% and a volatility of 30%. If the two stocks are uncorrelated, a. What is the expected return and volatility of a portfolio consisting of 72% Ford Motor stock and 28% of Molson Coors Brewing stock? b. Given your answer to (a), is investing all of your money in Molson Coors stock an efficient portfolio of...
Suppose you are attempting to value a 1-year expiration option on a stock with volatility (i.e., annualized standard deviation) of o = 0.35. a. 1 period of 1 year. b. 4 subperiods, each 3 months. c. 12 subperiods, each 1 month. What would be the appropriate values for u and dif your binomial model is set up using: (Do not round intermediate calculations. Round your answers to 4 decimal places.) u = explov At) | d = exp(-ov At) |...
Suppose you are attempting to value a 1-year expiration option on a stock with volatility (i.e., annualized standard deviation) of o = 0.37. a. 1 period of 1 year b. 4 subperiods, each 3 months. 12 subperiods, each 1 month. С. What would be the appropriate values for u and dif your binomial model is set up using: (Do not round intermediate calculations. Round your answers to 4 decimal places.) exp(-oAt) u = exp (σν Δt) Subperiods At = T/n...
(1 point) A stock currently trades at $44, and the volatility of
its return is 46%. The continuously compounded rate of interest is
3%. Consider a call option struck at $49, with 100 days to
expiration (recall that there are 251 trading days in one
year).
a) What is the price of the option (rounded to the nearest
cent)?
b) What is the option's delta (rounded to four decimal
places)?
c) Use your answer from (b) to estimate the value...
The Call option on the stock has a $13 exercise price and one-year maturity. The volatility of the stock is 10%. The probability of an up or down movement is an equal 50%. The risk-free interest rate is 6% per annum The current stock price is $13. Stock movement is 2 times a year. Value the premium of the option based on Binomial Model.
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