Question

The price of a European call option on a non-dividend-paying stock with a strike price of $50 is $6. The stock price is $51, the continuously compounded risk-free rate (all maturities) is 6% and the time to maturity is one year. What is the price of a one-year European put option on the stock with a strike price of $50?

a)$9.91

b)$7.00

c)$6.00

d)$2.09

Answer #1

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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?

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?

The price of a European put option on a stock with a strike
price of $30.00 is $6.80. The stock price is $28.00, the
continuously compounded risk-free rate (all maturities) is 4% and
the time to maturity is one year. A dividend of $2.00 is expected
in three months. What is the price of a one-year European call
option on the stock with a strike price of $30.00?
Select one:
a. $7.22
b. $4.00
c. $6.98
d. $4.74

A
one-month European call option on a non-dividend-paying stock is
currently selling for$2.50. The stock price is $47, the strike
price is $50, and the risk-free interest rate is 6% per annum. What
opportunities are there for an arbitrageur?

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).

the price of a non-dividend-paying stock is $19 and the price of
a 3-month European call option on the stock with a strike price of
$20 is $1, while the 3-month European put with a strike price of
$20 is sold for $3. the risk-free rate is 4% (compounded
quarterly). Describe the arbitrage strategy and calculate the
profit.
Kindly dont forget the second part of the question

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...

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 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...

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