Question

Assume S = $55, K = $55, r = 0.07, σ = 0.27, div = 0.0,...

Assume S = $55, K = $55, r = 0.07, σ = 0.27, div = 0.0, and 180 days until expiration. What is the premium on an Asian average price call, where N = 5?

Please show all work

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.

Asian average price call=$5.13

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
The underlying stock for a European exchange option has S = $27.15, div = 2.0%, and...
The underlying stock for a European exchange option has S = $27.15, div = 2.0%, and σ = 0.18. The strike stock has S = $30.00, div = 0.0%, and σ = 0.22. The two stocks have a correlation coefficient of 0.73. If the exchange option expires in 2 years, what is the price of the call using a Black-Scholes formula? SHOW ALL WORK
Assume that a $75 strike call has a 1.0% continuous dividend, 90 days until expiration and...
Assume that a $75 strike call has a 1.0% continuous dividend, 90 days until expiration and stock price of $72.00. What is the rho of the option as the interest rate changes from 6.0% to 5.0%? Assume sigma=0.27 A) 0.07 B) 0.12 C) 0.16 D) 0.20 Want to know the steps with formulas please. The ans is A.
Let S = $100, K = $120, σ = 30%, r = 0.08, and δ =...
Let S = $100, K = $120, σ = 30%, r = 0.08, and δ = 0. Compute the Black-Scholes call price for 1 year to maturity.
Let S = $100, K = $120, σ = 30%, r = 0.08, and δ =...
Let S = $100, K = $120, σ = 30%, r = 0.08, and δ = 0. Compute the Black-Scholes call price for 2 year to maturity with dividend yield of 0.001.
Let S = $58, s = 29%, r = 6%, and d = 3% (continuously compounded)....
Let S = $58, s = 29%, r = 6%, and d = 3% (continuously compounded). Compute the Black-Scholes price for a $50-strike European put option with 9 months until expiration. Answer= $1.92 Please show all the work to get that answer. Thanks
Compute the Black-Scholes price of a call. Suppose S=$100, K=$95, σ=30%, r=0.08, δ=0.03, and T=0.75.
Compute the Black-Scholes price of a call. Suppose S=$100, K=$95, σ=30%, r=0.08, δ=0.03, and T=0.75.
1a) Let S = $50, K = $55, r = 8% (continuously compounded), T = 0.25,...
1a) Let S = $50, K = $55, r = 8% (continuously compounded), T = 0.25, and d = 0. Let u = 1.25, d = 0.7, and n = 1. What are D and B for a European put? Answers: a. D = –0.5055; B = 48.6981 b. D = –0.6640; B = 34.3515 c. D = –0.9695; B = 48.6535 d. D = –0.7273; B = 44.5545 e. D = –0.5607; B = 48.2080 1b) Let S =...
1. Consider an economy that produces and consumes bread and automobiles. In the table below are...
1. Consider an economy that produces and consumes bread and automobiles. In the table below are data for two different years: Year 2010 Year 2025 Price of an automobile $50,000 $60,000 Price of a loaf of bread $10 $20 Number of automobiles produced 100 120 Number of loaves of bread produced 500,000 400,000 Using the year 2010 as the base year, compute the following: nominal GDP, implicit price deflator and the CPI. 2. Assume that GDP (Y) is 5,000. Consumption...
THIS IS THE GENERAL EQUILIBRIUM PROBLEM THAT I PROMISED. YOU FIRST SOLVE FOR THE INITIAL EQUILIBRIUM...
THIS IS THE GENERAL EQUILIBRIUM PROBLEM THAT I PROMISED. YOU FIRST SOLVE FOR THE INITIAL EQUILIBRIUM AS POINT A. WE CONSIDER TWO DIFFERENT AND SEPARATE SHOCKS (I CALL THEM SCENARIOS). THE FIRST SHOCK IS TO THE IS CURVE, THE SECOND SHOCK IS A ‘LM’ SHOCK. AGAIN, WE CONSIDER THESE SHOCKS SEPARATELY SO THAT AFTER YOU COMPLETE SCENARIO 1 (THE IS SHOCK), WE GO BACK TO THE ORIGINAL CONDITIONS AND CONSIDER THE SECOND SCENARIO WHICH IS THE ‘LM’ SHOCK. Consider the...
You are the manager of a U.S. company situated in Los Angeles and manages the import/export...
You are the manager of a U.S. company situated in Los Angeles and manages the import/export division of the company. The company distributes (resells) a variety of consumer products imported to the U.S.A from Europe and also exports goods manufactured in the U.S.A. to Canada. Therefore, your company is very much dependent on the impact of current and future exchange rates on the performance of the company. Scenario 1: You have to estimate the expected exchange rates between your home...
ADVERTISEMENT
Need Online Homework Help?

Get Answers For Free
Most questions answered within 1 hours.

Ask a Question
ADVERTISEMENT