Question

The current stock price is $129 and put price is $6. The risk-free interest rate is 10% per annum continuously compounded. Using the put-call parity, calculate the call price. The strike is $105 and the maturity is 0.5 year for both put and call.

Answer #1

**Answer:-**

**The formula for Put-call parity is given
by:-**

**Where, C is the call option price**

**P is the Put option price**

**S is the Stock price**

**K is the Strike price of put and call**

**r is the Risk-free interest rate**

**t is the time to expiration**

The following informations are given in the question:-

Stock price (S) = $ 129

Put price(P) = $ 6

Risk-free interest rate (r) = 10 %

Strike price (K) = $105

Time to maturity (t) = 0.5 year

**The call price can be determined using the above
formula:**

C = 135 - (105 / 1.0488)

**C = $
34.89**

**Hence, the Call price is $ 34.89**

Question 1. Given the price of a stock is $21,
the maturity time is 6 months, the strike price is $20 and the
price of European call is $4.50, assuming risk-free rate of
interest is 3% per year continuously compounded, calculate the
price of the European put option?
Hint: Use put-call parity relationship.
Note: Bull spreads are used when the investor believes
that the price of stock will increase. A bull spread on calls
consists of going long in a...

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%

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)

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...

Based on the put-call parity relationship you want to make an
arbitrage profit by selling a call, buying a put, and taking a
leveraged equity position.
Stock proce = $100
Call price (6-month maturity with strike price of $110) =
$5
Put price (6-month maturity with strike price of $110) =
$8
Risk free interest rate (continuously compounded) = 10%
If the stock price at maturity is $120, how much do you earn
from all these positions?

Stock currently trades for $30.63, strike price is $30.96, the 6
month European call trades at $2, risk free rate is 6% per annum,
calculate the price for the 6 month European put using put-call
parity. The stock does not pay dividends. Keep your answer to two
decimal places.

Consider a non-dividend paying stock currently priced at $100
per share. Over any given 6- month period, the stock price is
expected to go up or down by 10%. The continuously compounded
risk-free rate is 8% per annum. The stock’s real-world continuously
compounded expected return is 16% per annum. a) (5%) Calculate the
current price of a 1-year strike-100 European call option on the
stock. b) (5%) Calculate the real-world continuously compounded
expected return on the call

The current exchange rate is 0.70472 euros per dollar. The
continuously compounded risk-free interest rate for dollars and for
euros are equal at 4%. An n-month dollar-denominated European call
option has a strike price of $1.50 and a premium of $0.0794. An
n-month dollar-denominated European put option on one euro has a
strike price of $1.50 and a premium of $0.1596. Calculate n
Formulas would be greatly appreciated

A stock’s current price S is $100. Its return has a volatility
of s = 25 percent per year. European call and put options trading
on the stock have a strike price of K = $105 and mature after T =
0.5 years. The continuously compounded risk-free interest rate r is
5 percent per year. The Black-Scholes-Merton model gives the price
of the European put as:
please provide explanation

Consider a call option on a stock, the stock price is $29, the
strike price is $30, the continuously risk-free interest rate is 5%
per annum, the volatility is 20% per annum and the time to maturity
is 0.25.
(i) What is the price of the option? (6 points)
(ii) What is the price of the option if it is a put? (6
points)
(iii) What is the price of the call option if a dividend of $2
is expected...

ADVERTISEMENT

Get Answers For Free

Most questions answered within 1 hours.

ADVERTISEMENT

asked 3 minutes ago

asked 20 minutes ago

asked 21 minutes ago

asked 33 minutes ago

asked 39 minutes ago

asked 39 minutes ago

asked 55 minutes ago

asked 1 hour ago

asked 1 hour ago

asked 1 hour ago

asked 1 hour ago

asked 1 hour ago