In excel, please solve the following problem... The current price of Natasha Corporation stock is $ 5.92. In each of the next two years, this stock price can either go up by $2.50 or go down by $ 2.00. The stock pays no dividends. The one-year risk - free interest rate is 3.7% and will remain constant. Using the Binomial Model, calculate the price of a two-year call option on Natasha stock with a strike price of $7.00. What is the price of the two year call option?

In excel, please solve the following problem... The current price of Natasha Corporation stock is $ 5.92. In each of the next two years, this stock price can either go up by $2.50 or go down by $ 2.00. The stock pays no dividends. The one-year risk - free interest rate is 3.7% and will remain constant. Using the Binomial Model, calculate the price of a two-year call option on Natasha stock with a strike price of $7.00. What is the price of the two year call option?

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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The price of Bobco stock is currently $60. In one year, the price will either be s66 or $54. If the one-year risk free rate of interest is 6%, what is the price of a Bobco call option with an exercise price of $61? Recall, you will want to set 66N - 1.06B = 5 as one of the equations you need to solve this problem. You will need to figure out the other equation, then use both equations to solve for N and B. Then, you will price the portfolio of N shares less the amount borrowed. Round your answer to nearest cent. $6 $60 $54
Use the Black-Scholes formula to calculate today's value of a call option, based on the following: The call option's strike price is $50. The expiration date is six months from now. Stock shares can be purchased for $53 a share in today's market. The risk-free rate is 4 percent per year, compounded continuously. The standard deviation of the annual stock returns is 0 percent. (Do not round intermediate calculations and round your final answer to 2 decimal places, e.g., 32.16.) Price
The current price of MMX Corporation stock is $10. In each of the next two years, this stock price can either go up by $3.00 or go down by $2.00. MMX stock pays no dividends. The one-year risk-free interest rate is 5% and will remain constant. Using the binomial pricing model, calculate the price of a two-year call option on MMX stock with a strike price of $9. PLease answer with solution
Consider a put option on a stock that currently sells for £100, but may rise to £120 or fall to £80 after 1 year. The risk free rate of return is 10%, and the exercise price is £90. (b) Calculate the value of the put option by using first principles (No Arbitrage prin- ciples). Explain the reasoning behind your calculations.
Use the Black-Scholes formula to calculate today's value of a call option, based on the following: The call option's strike price is $50. The expiration date is three months from now. Stock shares can be purchased for $54 a share in today's market. The risk-free rate is 3 percent per year, compounded continuously. The standard deviation of the annual stock returns is 0 percent. (Do not round intermediate calculations and round your final answer to 2 decimal places, e.g., 32.16.) Price
The current price of Natasha Corporation stock is $6.00. In each of the next two years, this stock price can either go up by $2.50 or go down by $2.00. The stock pays no dividends. The one-year risk-free interest rate is 3.0% and will remain constant. Using the Binomial Model, calculate the price of a two-year call option on Natasha stock with a strike price of $7.00. The price of the two-year call option is $ (Round to the nearest cent.)
The current price of Natasha Corporation stock is $6.39. In each of the next two years, this stock price can either go up by $2.50 or go down by $2.00. The stock pays no dividends. The one-year risk-free interest rate is 3.4% and will remain constant. Using the Binomial Model, calculate the price of a two-year call option on Natasha stock with a strike price of $7.00.
The current price of Natasha Corporation stock is $6.27. In each of the next two years, this stock price can either go up by $2.50 or go down by $2.00. The stock pays no dividends. The one-year risk-free interest rate is 4.4% and will remain constant. Using the Binomial Model, calculate the price of a two-year put option on Natasha stock with a strike price of $7.00. The price of the two-year put is $ (Round to the nearest cent.) C
A stock has a current price of $67. An option on this stock that expires in six months has an exercise price of $65. The stock will pay a dividend of $5 in three months. Assume an annualized volatility of 30% and a continuously compounded risk - free rate of 5% per annum. Use the Black - Sholes - Merton model to price this option. 1) Suppose the option is a European put. Calculate the value of the put. 2) Suppose this option is an American call. Use Black's approximation to calculate the value of this call.
Consider a two-period binomial model for the stock price with both periods of length one year.Let the initial stock price be S(0) =GH¢100 and assume that the stock pays no dividends.Let the up and down factors be u = 1.25 and d = 0.75, respectively. Let the continuouslycompounded interest rate be r = 0.05 per annum. Oliver is interested in purchasing a chooseroption with the provision that he can choose if the option is a put or a call after one year. Thestrike for this option is GH¢100 and the expiry date is two years. Find the price of the chooseroption.
The current price of Natasha Corporation stock is $5.68. In each of the next two years, this stock price can either go up by $2.50 or go down by $2.00. The stock pays no dividends. The one-year risk-free interest rate is 3.8% and will remain constant. Using the Binomial Model, calculate the price of a two-year put option on Natasha stock with a strike price of $7.00. The price of the two-year put is $ (Round to the nearest cent.)
A put option and a call option with an exercise price of $55 and three months to expiration sell for $1.15 and $5.30, respectively. If the risk-free rate is 4.2 percent per year, compounded continuously, what is the current stock price? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Current stock price

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