Question

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)

Answer #1

The current price of a stock is $54.5 and the annual risk-free
rate is 2.8 percent. A put option with an exercise price of $55 and
one year until expiration has a current value of $ 3.47 . What is
the value of a call option written on the stock with the same
exercise price and expiration date as the put option? Show your
answer to the nearest .01. Do not use $ or , in your answer.
Because of...

The current price of a stock is $ 57.85 and the annual effective
risk-free rate is 8.7 percent. A call option with an exercise price
of $55 and one year until expiration has a current value of $ 6.64
. What is the value of a put option written on the stock with the
same exercise price and expiration date as the call option? Show
your answer to the nearest .01. Do not use $ or , in your answer....

The current price of a stock is $ 58.72 and the annual effective
risk-free rate is 7.8 percent. A call option with an exercise price
of $55 and one year until expiration has a current value of $ 8.91
. What is the value of a put option written on the stock with the
same exercise price and expiration date as the call option? Show
your answer to the nearest .01. Do not use $ or , in your answer....

You are considering purchasing a call option on a stock with a
current price of $31.59. The exercise price is $33.1, and the price
of the corresponding put option is $3.81. According to the put-call
parity theorem, if the risk-free rate of interest is 1.6% and there
are 45 days until expiration, what is the value of the call? (Hint:
Use 365 days in a year.)

Suppose a stock is currently trading at 92 and the annual risk
free rate is 0.0018.
What is the price of a call option on this stock with an
expiration date T = 0.5 (times in years) and with an exercise price
K = 98. Assume the volatility of annual log return is sd = 0.2
What is the price of a put option on the same stock with the
same parameters

You are considering purchasing a put option on a stock with a
current price of $54. The exercise price is $56, and the price of
the corresponding call option is $4.05. According to the put-call
parity theorem, if the risk-free rate of interest is 5% and there
are 90 days until expiration, the value of the put should be

You are attempting to value a call option with an exercise price
of $55 and one year to expiration. The underlying stock pays no
dividends, its current price is $55, and you believe it has a 50%
chance of increasing to $85 and a 50% chance of decreasing to $25.
The risk-free rate of interest is 6%. Based upon your assumptions,
calculate your estimate of the the call option's value using the
two-state stock price model. (Do not round intermediate...

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.

A stock sells for $60 and the risk free rate of interest is 5
percent.
A call and
a put on this stock expire in one year and both options have an
exercise price of $55.
How would
you trade to create a synthetic call option?
If the put
sells for $3, how much is the call option worth ? Assume continuous
compounding?

4. Use the following inputs: (1) current stock price is $50, (2)
exercise price is $45, (3) time to expiration is 3 months, (4)
annualized risk-free rate is 6%, and (5) variance of stock return
is 0.20.
a. find the call value
b. find the put value

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