Question

Calculate the option value for a one-period European put option with a current stock price of $100, a strike price of $95. The one period risk free rate is 5%. The stock price can either go up or down by 10% at the end of one period.

Answer #1

1- A one-year European call option on Stanley Industries stock
with a strike price of $55 is currently trading for $75 per share.
The stock pays no dividends. A one-year European put option on the
stock with a strike price of $55 is currently trading for $100. If
the risk-free interest rate is 10 percent per year, then what is
the current price on one share of Stanley stock assuming no
arbitrage?
2- The current price of MB Industries stock...

Consider a European-style call option on a stock that is
currently trading at £100. The strike price of the call is £90.
Assume that, in the next 12 months, the stock price can either go
up to £120 or go down to £80. Using risk-neutral valuation,
calculate the current value of the option if the risk-free rate is
5 percent per annum. Use discrete compounding. Which of the
following is correct?
A. £18
B. £18.5
C. £18.75
D. £19

1. Consider a one-step binomial tree on stock with a current
price of $100 that can go either up to $115 or down to $85 in 1
year. The stock does not pay dividend and interest rates are zero.
Use the tree to compute the value of a 1-year $100-strike European
put option on the stock.
2. Suppose you are long 100 contracts on a 1-year 25-put option
on AMZN. How much will your option position increase in value if...

Consider a European call option and a European put option on a
non dividend-paying stock. The price of the stock is $100 and the
strike price of both the call and the put is $104, set to expire in
1 year. Given that the price of the European call option is $9.47
and the risk-free rate is 5%, what is the price of the European put
option via put-call parity?

Consider a one-step binomial tree on stock with a current price
of $100 that can go either up to $115 or down to $85 in 1 year. The
stock does not pay dividend and interest rates are zero. Use the
tree to compute the value of a 1-year $100-strike European put
option on the stock.

Consider a one-step binomial tree on stock with a current price
of $100 that can go either up to $115 or down to $85 in 1 year. The
stock does not pay dividend and interest rates are zero. Use the
tree to compute the value of a 1-year $100-strike European put
option on the stock.

Consider a one-step binomial tree on stock with a current price
of $100 that can go either up to $115 or down to $85 in 1 year. The
stock does not pay dividend and interest rates are zero. Use the
tree to compute the value of a 1-year $100-strike European put
option on the stock.

A
European call option and put option on a stock both have a strike
price of $20 and an expiration date in three months. Both sell for
$3. The risk-free interest rate is 10 % per aunum, the current
stock price is $19 , and a $1 dividend is expected in one month.
identify the arbitrage oppotunity to a trader.

A
European call option and put option on a stock both have a strike
price of $20 and an expiration date in three months. Both sell for
$2. The risk-free interest rate is 5% per annum, the current stock
price is $25, and a $1 dividend is expected in one month. Identify
the arbitrage opportunity open to a trader.

The price of a European put option on a stock with a strike
price of $30.00 is $6.80. The stock price is $28.00, the
continuously compounded risk-free rate (all maturities) is 4% and
the time to maturity is one year. A dividend of $2.00 is expected
in three months. What is the price of a one-year European call
option on the stock with a strike price of $30.00?
Select one:
a. $7.22
b. $4.00
c. $6.98
d. $4.74

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