Question

A call and put expire in 0.41 year and have an exercise price of $100. The...

A call and put expire in 0.41 year and have an exercise price of $100. The underlying stock is worth $90 and has a standard deviation of 0.25. The annual risk-free rate is 11 percent. The annual dividend yield (q) on the stock is 2%. The put option price from the three-period binomial model is:

8.67

9.467

9.207

7.593

Business   Finance   
0 0
Add a commentTranscribed image text
Next >

Homework Answers

Answer #1

HOPE THIS ANSWER IS USEFUL. PLEASE LIKE THE ANSWER

0 0
Know the answer?
Your Answer:

Post as a guest

Your Name:

What's your source?

Earn Coins

Coins can be redeemed for fabulous gifts.

Log In

Sign Up

Not the answer you're looking for?
Ask your own homework help question
Similar Questions
A call and put expire in 0.41 year and have an exercise price of $100. The...
A call and put expire in 0.41 year and have an exercise price of $100. The underlying stock is worth $90 and has a standard deviation of 0.25. The annual risk-free rate is 11 percent. The annual dividend yield (q) on the stock is 2%. The put option price from the three-period binomial model is: 8.67 9.467 9.207 7.593
A put option and a call option with an exercise price of $65 expire in three...
A put option and a call option with an exercise price of $65 expire in three months and sell for $.96 and $5.80, respectively. If the stock is currently priced at $68.40, what is the annual continuously compounded rate of interest? (Do not round intermediate calculations. Enter your answer as a percent rounded 2 decimal places, e.g., 32.16.) Rate of interest
A European put option has an exercise price of £100. It has one year to expiration....
A European put option has an exercise price of £100. It has one year to expiration. The underlying stock does not pay any dividends and has a current price of £90. This price has a 50% chance of increasing to £110 and a 50% chance of decreasing to £70. The risk free rate of interest is 1% p.a. Calculate the price of the put option using the two state stock price model applying the replicating portfolio method.
currently, a call option on Bayou stock is available with an exercise price of $100 and...
currently, a call option on Bayou stock is available with an exercise price of $100 and an expiration date one year from now. Assume that the price of Bayou corporation stock today is $100. Furthermore, it is estimated that Bayou stock will be selling for either $75 or $143 in one year. Also, assume that the annual risk-free interest rate on a one year Treasury bill is 10 percent, continuously compounded. Therefore, the T-bill will pay $100 x e^(0.1), or...
Currently, a call option on Bayou stock is available with an exercise price of $100 and...
Currently, a call option on Bayou stock is available with an exercise price of $100 and an expiration date one year from now. Assume that the price of Bayou Corporation stock today is $100. Furthermore, it is estimated that Bayou stock will be selling for either $62 or $152 in one year. Also, assume that the annual risk-free interest rate on a one-year Treasury bill is 10 percent, continuously compounded. Therefore, the T-bill will pay $100 × e^(0.1), or $110.25....
A call option with an exercise price of $110 has six months to the expiration date....
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.
A call and a put are held in a portfolio, both have an exercise price of...
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...
You are attempting to value a call option with an exercise price of $150 and one...
You are attempting to value a call option with an exercise price of $150 and one year to expiration. The underlying stock pays no dividends. Its current price is $100. The stock price either increases by a factor of 1.5, or decreases by a factor of 0.5, every six months. The risk-free rate of interest is 2% per year (or 1% per six-month period). What is the value of this call option using the two-period binomial option pricing model? (Do...
A European put option is currently worth $3 and has a strike price of $17. In...
A European put option is currently worth $3 and has a strike price of $17. In four months, the put option will expire. The stock price is $19 and the continuously compounding annual risk-free rate of return is .09. What is a European call option with the same exercise price and expiry worth? Also, given that the price of the call option is $5, show how is there an opportunity for arbitrage.
This is two period American put option model. Underlying asset price at current time is $100...
This is two period American put option model. Underlying asset price at current time is $100 and u(up factor in the binomial tree) is 1.05 and d(down factor in the binomial tree) is 0.95. Exercise price is $105 and risk free rate is 0.02% what is the put option price at current time? what is the time value of put option and current time? is the put option in-the-money, at-the-money, or out-of-the money?
ADVERTISEMENT
Need Online Homework Help?

Get Answers For Free
Most questions answered within 1 hours.

Ask a Question
ADVERTISEMENT