The current price of a non-dividend paying stock is $30. Use a two-step tree to value a European put option on the stock with a strike price of $32 that expires in 6 months with u = 1.1 and d = 0.9. Each step is 3 months, the risk free rate is 8%. Group of answer choices $2.24 $2.64 $2.84 $2.44
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1. The current price of a non-dividend paying stock is $30. Use a two-step tree to value a European put option on the stock with a strike price of $32 that expires in 6 months with u = 1.1 and d = 0.9. Each step is 3 months, the risk free rate is 8%.
Group of answer choices
$2.24
$2.64
$2.84
$2.44
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- Put–Call Parity The current price of a stock is $33, and the annual risk-free rate is 6%. A call option with a strike price of $32 and with 1 year until expiration has a current value of $6.56. What is the value of a put option written on the stock with the same exercise price and expiration date as the call option?Binomial Model The current price of a stock is 20. In 1 year, the price will be either 26 or 16. The annual risk-free rate is 5%. Find the price of a call option on the stock that has a strike price of 21 and that expires in 1 year. (Hint: Use daily compounding.)3. Consider a European call option on a non-dividend paying stock with exercise price 100 USD and expiration in one month. Interest rate is 1 percent and volatility of the stock is 0.4. Stock price 90 USD. Option price?? Use excel.
- The current price of a non-dividend paying stock is $30. Use a two-step tree to value a European put option on the stock with a strike price of $32 that expires in 6 months. Each step is 3 months, the risk free rate is 896, and u = 1.1 and d = 0.9. O $2.24 $2.44 $2.64 $2.84The current price of a non-dividend paying stock is £28.8. Use a two-step tree to value a European put option on the stock with a strike price of £33.0 that expires in 6 months with u = 1.22 and d = 0.82. Each step is 3 months, the risk free rate is 9.4%. Give typing answer with explanation and conclusion3. Consider a European put option on a non-dividend paying stock with exercise price 100 USD and expiration in one month. Interest rate is 1 percent and volatility of the stock is 0.4. Stock price 90 USD. Option price?? Use excel.
- 1. Consider a 4 month European put on a stock with no dividend the follow- ing parameters: S(0) = 305, K (a) Compute the option's vega (b) If o increases by 0.01, what is the approximate increase in the value of the option? 300, r = 0.08, o = 0.25Consider a stock with a current price of P $27 Suppose that over the next 6 months the stock price will either go up by a factor of 1.41 or down by a factor of 071. Consider a call option on the stock with a strike price of $25 that expires in 6 months. The nsk-free rate is 6%. (1) Using the binomial model, what are the ending values of the stock price? What are the payoffs of the call option? (2) Suppose you write one call option and buy N shares of stock How many shares must you buy to create a portfolo with a riskless payoff Ge, a hedge portfolio)? What is the payoff of the portfolio? 13)What.is the.present.value of the hedge port- Tolot What &the value of phe calt.option? (4) What s a teplieatirg portfolio What is 2otrage?Compute the difference in price of American put option and European put option using 2- step binomial option on a stock that is selling at $42. The options will expire is 6-months and the risk-free rate is 12%. In each three-months period the price of stock will be either 10% high or 10% low. (A) $0.42 (B) $2.24 (C) $0.65 (D) S0.52
- The current price of a non-dividend paying stock is $30. Use a two-step tree to value a European call option on the stock with a strike price of $32 that expires in 6 months. Each step is 3 months, the risk free rate is 8% per year with continuous compounding. What is the option price when u = 1.1 and d = 0.9? O $1.29 O $1.69 O $1.49 O None of these O $1.89 ◄ Previous Next ▸Consider an American put option (K=$100) expiring in one year on a stock trading for $84. The return volatility on the stock is 27.3% and the riskless rate is 5%. Find the price of the option using a Binomial Model with two steps. (Respond with two decimal places, such as "-12.34") 26.59 Correct Answer: 18.287) Consider a European call option on a -dividend-paying stock where the stock price is $40, the strıke price is $40, the risk-free rate is 4% per annum, the volatility is 30% per annum, and the time to maturity is six months. A dividend of $1 is expected in 3 months' time a. Calculate u, d̟ and p for a two-step tree b. Value the option using a two-step tree. c. Value the option with 5 time steps using DerivaGem software.