Question

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.

Answer #1

N(d1) is 0.5977

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 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 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 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 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 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 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 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 $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 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.

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