Question

A call option has 20 days to mature. The continuously compounded annual risk free rate is...

A call option has 20 days to mature. The continuously compounded annual risk free rate is 1%. The stock price is 28.40. The exercise price is 29. The annualized volatility is 0.27. Dividend yield is zero. What is the delta of this option? What is the Black-Scholes put price for the data of above question?

Business   Finance   
0 0
Add a commentTranscribed image text
Next >

Homework Answers

Answer #1

ANSWER IN THE IMAGE ((YELLOW HIGHLIGHTED). FEEL FREE TO ASK ANY DOUBTS. THUMBS UP PLEASE. THUMBS UP PLEASE.

Delta of Put = 0.6133

put option price= 1.06

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 stock is currently traded for $135. The risk-free rate is 0.5% per year (continuously compounded...
A stock is currently traded for $135. The risk-free rate is 0.5% per year (continuously compounded APR) and the stock’s returns have an annual standard deviation (volatility) of 56%. Using the Black-Scholes model, we can find prices for a call and a put, both expiring 60 days from today and having strike prices equal to $140. (a) What values should you use for S, K, T−t, r, and σ in the Black-Scholes formula? S = K = T - t...
Assume risk-free rate is 5% per annum continuously compounded. Use Black-Scholes formula to find the price...
Assume risk-free rate is 5% per annum continuously compounded. Use Black-Scholes formula to find the price the following options: European call with strike price of $72 and one year to maturity on a non-dividend-paying stock trading at $65 with volatility of 40%. European put with strike price of $65 and one year to maturity on a non-dividend-paying stock trading at $72 with volatility of 40%
Peter has just sold a European call option on 10,000 shares of a stock. The exercise...
Peter has just sold a European call option on 10,000 shares of a stock. The exercise price is $50; the stock price is $50; the continuously compounded interest rate is 5% per annum; the volatility is 20% per annum; and the time to maturity is 3 months. (a) Use the Black-Scholes-Merton model to compute the price of the European call option. (b) Find the value of a European put option with the same exercise price and expiration as the call...
A stock index level is currently 2,000. Its volatility is 25%. The risk-free rate is 4%...
A stock index level is currently 2,000. Its volatility is 25%. The risk-free rate is 4% per annum (continuously compounded) for all maturities and the dividend yield on the index is 2%. Using the Black-Scholes model: a) Derive the value a 6-month European put option with a strike price of 2020. b) Derive the position in the index that is needed today to hedge a long position in the put option. Assume that the option is written on 250 times...
stock price 42.27 strike 40 maturity 26 days risk free 4.92% volatility 45.75% use black scholes...
stock price 42.27 strike 40 maturity 26 days risk free 4.92% volatility 45.75% use black scholes in excel to comput the call and put option value
. Use the Black-Scholes model to find the price for a call option with the following...
. Use the Black-Scholes model to find the price for a call option with the following inputs: (1) current stock price is $45, (2) exercise price is $50, (3) time to expiration is 3 months, (4) annualized risk-free rate is 3%, and (5) variance of stock return is 0.50. . Using the information from question above, find the value of a put with a $50 exercise price.
Show that an at the money call option on an underlying asset paying dividends continuously at...
Show that an at the money call option on an underlying asset paying dividends continuously at rate is worth more than an at the money put option with the same maturity if and only if , where is the constant risk free rate. Hints: Put-Call parity, Black-Scholes formula.
1. Calculate the value of the D1 parameter for a call option in the Black-Scholes model,...
1. Calculate the value of the D1 parameter for a call option in the Black-Scholes model, given the following information: Current stock price: $65.70 Option strike price: $74 Time to expiration: 7 months Continuously compounded annual risk-free rate: 3.79% Standard deviation of stock return: 22% 2. Calculate the value of the D2 parameter for a call option in the Black-Scholes model, given the following information: Current stock price: $126.77 Option strike price: $132 Time to expiration: 6 months Continuously compounded...
1:Consider a European call option on a stock with current price $100 and volatility 25%. The...
1:Consider a European call option on a stock with current price $100 and volatility 25%. The stock pays a $1 dividend in 1 month. Assume that the strike price is $100 and the time to expiration is 3 months. The risk free rate is 5%. Calculate the price of the the call option. 2: Consider a European call option with strike price 100, time to expiration of 3 months. Assume the risk free rate is 5% compounded continuously. If the...
Calculate the price of a European call option using the Black Scholes model and the following...
Calculate the price of a European call option using the Black Scholes model and the following data: stock price = $56.80, exercise price = $55, time to expiration = 15 days, risk-free rate = 2.5%, standard deviation = 22%, dividend yield = 8%.
ADVERTISEMENT
Need Online Homework Help?

Get Answers For Free
Most questions answered within 1 hours.

Ask a Question
ADVERTISEMENT