Question

Exercise price $150

Spot Price $110

Risk rate is 5%

Using Put-Call Parity & continuous compounding

A. If the premium for the Call is $12.00,what is the Premium for the Put, given both options expire in 1.5 years?

B If the Premium for the Put is $3.00 and both options expire in 3.5 years, then how much is the Premium for the Call option?

Using excel!

Answer #1

A call and a put are held in a diversed portfolio & they
both have an exercise price of $140
The Spot price of the stock is $100
Risk free rate is 6%.
Use Put-Call Parity for A& B
A. The premium for the Call is $15.00, what is the Premium for
the Put, given both options expire in 1.5 years?
B. The Premium for the Put is $3.00 and both options expire in
3.5 years, then how much is...

A call and a put are held in a portfolio, having an exercise
price of $150, the premium for the call is $5.00, the premium for
the put is $2.00, and the risk free rate is 6%.
A. Using continuous compounding what is the Spot price of the
stock if both options expire in 3 years
B. Using monthly compounding, what is the Spot price of the
stock if both options expire in 3 years?
Show formula

A call and a put are held in a portfolio, both have an exercise
price of $140
Premium for the call is $5.00
Spot price of the stock is $145, and the risk free rate is
4%.
A. Using continuous compounding, what is the Premium of the Put
if both options expire in 2.5 years?
B. Using monthly compounding, what is the Premium of the Put if
both options expire in 2.5years?
C. Does the Put-Call Parity equation work when...

A stock sells for $60 and the risk free rate of interest is 5
percent.
A call and
a put on this stock expire in one year and both options have an
exercise price of $55.
How would
you trade to create a synthetic call option?
If the put
sells for $3, how much is the call option worth ? Assume continuous
compounding?

Price a 1 year forward, with continuous compounding risk free
rate of 5%, spot price of $1 and a dividend of $0.10 after 6
months. The price is _______.
0.93
1.75
0.95
1.05

Put Call Parity
Using the Apple (AAPL) option chain, the stock price is
$226.82, the term is 45 days, estimate a risk-free rate (T-bill),
use the 225 strike, use the bid/ ask mean quote call = $10.175.
Using Put Call Parity solve for the put and please show all you
work.

You purchase 100 put options on a stock with exercise price of
$52 at a premium of $4.30 per put. You also purchase 100 call
options on the same stock with exercise price of $54 and call
premium of $5.10 per call. If at expiration of the options (the
options expire on the same date), the stock's price is $52.79,
calculate your profit.
According to put-call parity, the present value of the exercise
price is equal to the:
A.
Stock...

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?

Imagine that you are unable to short-sell a particular stock.
Using put-call parity, replicate a short position in the stock,
assuming that the stock pays no dividends,
there is a put and a call option, both of which have the same
exercise price, K, and the same time to expiration, T. You are able
to borrow and lend the
continuously compounded risk free rate, r.

A call option with an exercise price of $110 has six months to
the expiration date.
Currently, the stock is sold at a price of $120. At the expiration
date, the underlying stock has
two possible ending prices: $150 or $105. The risk-free rate of
return is 8 percent per annum.
Calculate the price of this call option using binomial option
pricing model.

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