Question

You are considering purchasing a call option on a stock with a current price of $31.59. The exercise price is $33.1, and the price of the corresponding put option is $3.81. According to the put-call parity theorem, if the risk-free rate of interest is 1.6% and there are 45 days until expiration, what is the value of the call? (Hint: Use 365 days in a year.)

Answer #1

_______________________________

_______________________________

As per Call Put Partiy

Strike Price * e^(-r*t) + Premium on Call Option = Current Value of Stock + Premium on Put Option

where r is the risk free rate of return i.e. 0.016

t is the time period 45/365 = 0.12328767123

33.1 * e^(-0.016*0.12328767123) + P = 31.59 + 3.81

33.1 * 0.99802934157 + P = 31.59 + 3.81

33.034771206 + P = 35.40

P = 35.40 - 33.034771206

P = 2.37

You are considering purchasing a put option on a stock with a
current price of $54. The exercise price is $56, and the price of
the corresponding call option is $4.05. According to the put-call
parity theorem, if the risk-free rate of interest is 5% and there
are 90 days until expiration, the value of the put should be

You are attempting to value a call option with an exercise price
of $55 and one year to expiration. The underlying stock pays no
dividends, its current price is $55, and you believe it has a 50%
chance of increasing to $85 and a 50% chance of decreasing to $25.
The risk-free rate of interest is 6%. Based upon your assumptions,
calculate your estimate of the the call option's value using the
two-state stock price model. (Do not round intermediate...

The current price of a stock is $50 and the annual risk-free
rate is 6 percent. A call option with an exercise price of $55 and
one year until expiration has a current value of $7.20. What is the
value of a put option (to the nearest dollar) written on the stock
with the same exercise price and expiration date as the call
option? (Use put-call parity)

Rebecca is interested in purchasing a European call on a hot
new stock, Up, Inc. The call has a strike price of $ 96.00 and
expires in 91 days. The current price of Up stock is $ 117.65, and
the stock has a standard deviation of 40% per year. The risk-free
interest rate is 6.53 % per year. Up stock pays no dividends. Use
a 365-day year.
a. Using the Black-Scholes formula, compute the price of the
call.
b. Use...

The current price of a stock is $ 57.85 and the annual effective
risk-free rate is 8.7 percent. A call option with an exercise price
of $55 and one year until expiration has a current value of $ 6.64
. What is the value of a put option written on the stock with the
same exercise price and expiration date as the call option? Show
your answer to the nearest .01. Do not use $ or , in your answer....

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.

The current price of a stock is $ 58.72 and the annual effective
risk-free rate is 7.8 percent. A call option with an exercise price
of $55 and one year until expiration has a current value of $ 8.91
. What is the value of a put option written on the stock with the
same exercise price and expiration date as the call option? Show
your answer to the nearest .01. Do not use $ or , in your answer....

Suppose that a 6-month European call A option on a stock with a
strike price of $75 costs $5 and is held until maturity, and
6-month European call B option on a stock with a strike price of
$80 costs $3 and is held until maturity. The underlying stock price
is $73 with a volatility of 15%. Risk-free interest rates (all
maturities) are 10% per annum with continuous compounding.
Use put-call parity to explain how would you construct a
European...

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.

The current price of a stock is $54.5 and the annual risk-free
rate is 2.8 percent. A put option with an exercise price of $55 and
one year until expiration has a current value of $ 3.47 . What is
the value of a call option written on the stock with the same
exercise price and expiration date as the put option? Show your
answer to the nearest .01. Do not use $ or , in your answer.
Because of...

ADVERTISEMENT

Get Answers For Free

Most questions answered within 1 hours.

ADVERTISEMENT

asked 8 minutes ago

asked 20 minutes ago

asked 30 minutes ago

asked 33 minutes ago

asked 38 minutes ago

asked 51 minutes ago

asked 51 minutes ago

asked 1 hour ago

asked 1 hour ago

asked 1 hour ago

asked 1 hour ago

asked 1 hour ago