Question

Consider a call option with a strike price (X) of $100 that expires in six months...

Consider a call option with a strike price (X) of $100 that expires in six months (t=0.5). If the current stock price (S) is $100, the underlying’s stock’s volatility (σ) of the stock is 0.2, and the risk-free rate (rrf) is 5% what is N(d1)? The Excel NORMSDIST(z) function will be helpful for this problem.

Homework Answers

Answer #1

N(d1) is 0.5977


Know the answer?
Your Answer:

Post as a guest

Your Name:

What's your source?

Earn Coins

Coins can be redeemed for fabulous gifts.

Not the answer you're looking for?
Ask your own homework help question
Similar Questions
5.7. The price of a European call that expires in six months and has a strike...
5.7. The price of a European call that expires in six months and has a strike price of $30 is $2. The underlying stock price is $29, and a dividend of $0.50 is expected in two months and again in five months. Risk-free interest rates (all maturities) are 10%. What is the price of a European put option that expires in six months and has a strike price of $30?
The price of a European call that expires in six months and has a strike price...
The price of a European call that expires in six months and has a strike price of $28 is $2. The underlying stock price is $28, and a dividend of $1 is expected in 4 months. The term structure is flat, with all risk-free interest rates being 6%. If the price of a European put option with the same maturity and strike price is $3, what will be the arbitrage profit at the maturity?
The price of a European put that expires in six months and has a strike price...
The price of a European put that expires in six months and has a strike price of $100 is $3.59. The underlying stock price is $102, and a dividend of $1.50 is expected in four months. The term structure is flat, with all risk-free interest rates being 8% (cont. comp.). What is the price of a European call option on the same stock that expires in six months and has a strike price of $100? Explain in detail the arbitrage...
6. A call option with a strike price of $30 expires in six months. The current...
6. A call option with a strike price of $30 expires in six months. The current price of the stock is $40. What is the intrinsic value of the option? Should the option have a time premium? Is the option in-the-money or out-of-the-money? I need help with this questions.
A call option with an exercise price of $50 expires in six months, has a stock...
A call option with an exercise price of $50 expires in six months, has a stock price of $54, and has a standard deviation of 80 percent. The risk-free rate is 9.2 percent per year annually compounded. Calculate the value of d1.and d2 Calculate the value of d1 0.3 0.7214 -0.7214 0.4967 calculate the value of  d2 +0.0690 -0.0690 +0.5657 -0.5657
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...
A one-year call option has a strike price of 60, expires in 6 months, and has...
A one-year call option has a strike price of 60, expires in 6 months, and has a price of $2.5. If the risk-free rate is 7 percent, and the current stock price is $55, what should the corresponding put be worth? a. $5.00 b. $7.54 c. $7.08 d. $5.50
A put option with a strike price of $90 sells for $6.3. The option expires in...
A put option with a strike price of $90 sells for $6.3. The option expires in four months, and the current stock price is $92.3. If the risk-free interest rate is 4.3 percent, what is the price of a call option with the same strike price? (Round your answer to 2 decimal places. Omit the "$" sign in your response.) Price of a call option $
A put option that expires in six months with an exercise price of $54 sells for...
A put option that expires in six months with an exercise price of $54 sells for $4.31. The stock is currently priced at $59, and the risk-free rate is 4.4 percent per year, compounded continuously. What is the price of a call option with the same exercise price?
A put option with a strike of $100 expires in 3 months. The underlying stock follows...
A put option with a strike of $100 expires in 3 months. The underlying stock follows a binomial process and does not pay dividends. Today, the stock price is $110, and in three months its price will be $125 or $90. The annual Risk free rate is 6%. calculate the fair price of the put option. 4.55, 3.51, 3.77, 4.02, OR 4.28.
ADVERTISEMENT
Need Online Homework Help?

Get Answers For Free
Most questions answered within 1 hours.

Ask a Question
ADVERTISEMENT