Question

A forward contract is priced at 144. European options on the forward contract have an exercise...

A forward contract is priced at 144. European options on the forward contract have an exercise price of 151 and expire in 70 days. The continuously compounded risk-free rate is 3.77%, and volatility is 0.33. The d1 is -0.26 and d2 is -0.40. Calculate the price of the put option on the forward contract using the Black model

Business   Finance   
0 0
Add a commentTranscribed image text
Next >

Homework Answers

Answer #1

SEE THE IMAGE. ANY DOUBTS, FEEL FREE TO ASK. THUMBS UP PLEASE

NO INTERMEDIATE ROUNDING IS DONE

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
Find the current fair values of a D1 month European call and a D2 month European...
Find the current fair values of a D1 month European call and a D2 month European put option, using a current stock price of D3, strike price of D4, volatility of D5, interest rate of D6 percent per year, continuously, compounded. Obtain the current fair values of the following: 1.European call by simulation. 2.European put by simulation. 3.European call by Black-Scholes model. 4.European put by Black-Scholes model. D1 D2 D3 D4 D5        D6 11.2 10.9 31.7 32.6 0.65      9.5
The valuation of a European call option on a stock that does not pay dividends is...
The valuation of a European call option on a stock that does not pay dividends is given by c = S*N(d1) - X*e(-rT)*N(d2) Given a strike price of 75, a spot price of 70, volatility of 25%, time to expiry of 0.33 years, a risk free rate of 8%, N(d1) = 0.411078 and N(d2) = 0.356293, what is the price of a call option? *2.9317 *2.7498 *2.5412 *3.0241
You are given the following information about a European call option on Stock XYZ. Use the...
You are given the following information about a European call option on Stock XYZ. Use the Black-Scholes model to determine the price of the option: Shares of Stock XYZ currently trade for 90.00. The stock pays dividends continuously at a rate of 3% per year. The call option has a strike price of 95.00 and one year to expiration. The annual continuously compounded risk-free rate is 6%. It is known that d1 – d2 = .3000; where d1 and d2...
Consider a European call option and a European put option, both of which have a strike...
Consider a European call option and a European put option, both of which have a strike price of $70, and expire in 4 years. The current price of the stock is $60. If the call option currently sells for $0.15 more than the put option, the continuously compounded interest rate is 3.9% 4.9% 5.9% 2.9%
Consider a European call option and a European put option, both of which have a strike...
Consider a European call option and a European put option, both of which have a strike price of $70, and expire in 4 years. The current price of the stock is $60. If the call option currently sells for $0.15 more than the put option, the continuously compounded interest rate is a. 2.9%          b. 3.9% c. 4.9% d. 5.9%        
Peter has just sold a European call option on 10,000 shares of a stock. The exercise...
Peter has just sold a European call option on 10,000 shares of a stock. The exercise price is $50; the stock price is $50; the continuously compounded interest rate is 5% per annum; the volatility is 20% per annum; and the time to maturity is 3 months. (a) Use the Black-Scholes-Merton model to compute the price of the European call option. (b) Find the value of a European put option with the same exercise price and expiration as the call...
TSLA stock price is currently at $800. The 6-month $1000-strike European call option on TSLA has...
TSLA stock price is currently at $800. The 6-month $1000-strike European call option on TSLA has a delta of 0.46. N(d2) of the option is 0.26. TSLA does not pay dividend. Continuously compounding interest rate is 5%. Compute the Black-Merton-Scholes value of the TSLA European put option at the same strike and expiry.
TSLA stock price is currently at $800. The 6-month $1000-strike European call option on TSLA has...
TSLA stock price is currently at $800. The 6-month $1000-strike European call option on TSLA has a delta of 0.46. N(d2) of the option is 0.26. TSLA does not pay dividend. Continuously compounding interest rate is 5%. Compute the Black-Merton-Scholes value of the TSLA European put option at the same strike and expiry.
TSLA stock price is currently at $800. The 6-month $1000-strike European call option on TSLA has...
TSLA stock price is currently at $800. The 6-month $1000-strike European call option on TSLA has a delta of 0.46. N(d2) of the option is 0.26. TSLA does not pay dividend. Continuously compounding interest rate is 5%. Compute the Black-Merton-Scholes value of the TSLA European put option at the same strike and expiry.
Problem 43.1 Consider a chooser option on a stock. The stock currently trades for $50 and...
Problem 43.1 Consider a chooser option on a stock. The stock currently trades for $50 and pays dividend at the continuously compounded yield of 8%. The choice date is two years from now. The underlying European options expire in four years from now and have a strike price of $45. The continuously compounded risk- free rate is 5% and the volatility of the prepaid forward price of the stock is 30%. Find the delta of the European call with strike...
ADVERTISEMENT
Need Online Homework Help?

Get Answers For Free
Most questions answered within 1 hours.

Ask a Question
ADVERTISEMENT