Question

Today’s price of Marriot (MAR) is $75. MAR does not pay
dividends. Each year, the

stock price of MAR can either go up or down. If the stock price
goes up, the gross rate

of return is u = 2. If the stock price goes down, the gross rate of
return is d = 0.5.

The c.c. risk-free interest rate is zero percent. You are
interested in a European put

option on MAR with a strike of $80 and a maturity of two years.
Assume there is no

arbitrage.

What is the price of the put option?

Answer #1

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of $100 and a maturity of one year is $1.99. What is the implied
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Today’s price of Microsoft (MSFT) is $100 per share. MSFT does
not pay dividends. The c.c. risk-free interest rate is zero
percent. Assume there is no arbitrage and the Black-Scholes model
assumptions hold. The market price of a European call option on
MSFT with a strike of $100 and a maturity of one year is $1.99.
What is the implied volatility of the call option?

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What is the price of a European call option on AAPL with a
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1- A one-year European call option on Stanley Industries stock
with a strike price of $55 is currently trading for $75 per share.
The stock pays no dividends. A one-year European put option on the
stock with a strike price of $55 is currently trading for $100. If
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year. The stock does not pay dividend and interest rates are zero.
Use the tree to compute the value of a 1-year $100-strike European
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K = 100, u = 1.3,...

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