Question

What is the price of a European put option on a non-dividend-paying stock when the stock price is $100, the strike price is $100, the risk-free interest rate is 8% per annum, the volatility is 25% per annum, and the time to maturity is 1 month? (Use the Black-Scholes formula.)

Answer #1

What is the price of a European put option on a
non-dividend-paying stock when the stock price is $70, the strike
price is $75, the risk-free interest rate is 10% per annum, the
volatility is 25% per annum, and the time to maturity is six
months?

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. Assume that the stock is due to go
ex-dividend in 1.5 months. The expected dividend is 50 cents. Using
the Black-Scholes-Merton model, what is the price of the option if
it is a European put?

What is the price of a European call option on a
non-dividend-paying stock when
the stock price is $52, the strike price is $50, the risk-free
interest rate is 12% per annum, the
volatility is 30% per annum, and the time to maturity is three
months? (Hint: Remember Black-
Sholes-Merton Model. Please refer to the N(d) tables provided to
you to pick the N values you
need)

Consider an option on a non-dividend-paying stock when the
stock is $ 30, the exercise price is $29. The risk –free rate is 5%
per annum, the volatility is 25% per annum, and the time to
maturity is four months.
(a) What is the price of the option if it is European
call?
(b) What is the price of option if it is an American
call?
(c) What is the price of the option if it is a European
put?

Price a European call option on non-dividend paying stock by
using a binomial tree. Stock price is €50, volatility is 26%
(p.a.), the risk-free interest rate is 5% (p.a. continuously
compounded), strike is € 55, and time to expiry is 6 months. How
large is the difference between the Black-Scholes price and the
price given by the binomial tree?

Price a European call option on non-dividend paying stock by
using a binomial tree. Stock price is €50, volatility is 26%
(p.a.), the risk-free interest rate is 5% (p.a. continuously
compounded), strike is € 55, and time to expiry is 6 months. How
large is the difference between the Black-Scholes price and the
price given by the binomial tree?

Consider a six-month European call option on a
non-dividend-paying stock. The stock price is $30, the strike price
is $29, and the continuously compounded risk-free interest rate is
6% per annum. The volatility of the stock price is 20% per annum.
What is price of the call option according to the
Black-Schole-Merton model? Please provide you answer in the unit of
dollar, to the nearest cent, but without the dollar sign (for
example, if your answer is $1.02, write 1.02).

Consider a European call option on a non-dividend-paying stock
where the stock price is
$40, the strike price is $40, the risk-free rate is 4% per annum,
the volatility is 30% per
annum, and the time to maturity is 6 months.
(a) Calculate u, d, and p for a two-step tree.
(b) Value the option using a two-step tree.
(c) Verify that DerivaGem gives the same answer.
(d) Use DerivaGem to value the option with 5, 50, 100, and 500...

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?

You are evaluating a European call option on a no-dividend
paying stock that is currently priced $42.05. The strike price for
the option is $45, the risk-free rate is3% per year, the volatility
is 18% per year, and the time to maturity is eleven months. Use the
Black-Scholes model to determine the price of the option.

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