2. What are the prices of a call option and a put option with the following characteristics? Stock price = $74Exercise price = $72Risk-free rate = 2.7% per year, compounded continuouslyMaturity = 4 monthsStandard deviation = 52% per year 3. Draw the payoff picture at expiration for a long position in a call option that has a premium of $1.25 and a strike price of $30. 4. Draw the payoff picture for a short position in the call option given in Problem 2.5. Draw the payoff picture at expiration for a long position in a put option that has a premium of $3.50 and a strike price of $80. 6. Draw the payoff picture for a short position in the put option given in Problem 4.please let me have it by mornin. Thank you.

2. What are the prices of a call option and a put option with the following characteristics? Stock price = $74Exercise price = $72Risk-free rate = 2.7% per year, compounded continuouslyMaturity = 4 monthsStandard deviation = 52% per year 3. Draw the payoff picture at expiration for a long position in a call option that has a premium of $1.25 and a strike price of $30. 4. Draw the payoff picture for a short position in the call option given in Problem 2.5. Draw the payoff picture at expiration for a long position in a put option that has a premium of $3.50 and a strike price of $80. 6. Draw the payoff picture for a short position in the put option given in Problem 4.please let me have it by mornin. Thank you.

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter5: Financial Options

Section: Chapter Questions

Problem 5P

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Give typing answer with explanation and conclusion A call option has a strike price of $11, and a time to expiration of 0.8 in years. If the stock is trading for $20, N(d1) = 0.5, N(d2) = 0.12, and the risk free rate is 5.40%, what is the value of the call option?
Consider the following data for a certain share. Current Price = S0 = Rs. 80 Exercise Price = E = Rs. 90 Standard deviation of continuously compounded annual return = \sigma = 0.5 Expiration period of the call option = 3 months Risk – free interest rate per annum = 6 percent a. What is the value of the call option? Use the normal distribution table. b. What is the value of a put option?
What are the prices of a call option and a put option with the following characteristics? (Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.) Stock price = $76 Exercise price = $75 Risk-free rate = 4.50% per year, compounded continuously Maturity = 4 months Standard deviation = 63% per year Call price $ Put price $
Consider the following data for a certain share. Current Price = So = Rs. 80 Exercise Price = E = Rs. 90 Standard deviation of continuously compounded annual return = 0 = 0.5 Expiration period of the call option 3 months Risk – free interest rate per annum = 6 percent a. What is the value of the call option? Use the normal distribution table. b. What is the value of a put option?
What are the prices of a call option and a put option with the following characteristics? (Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.) Stock price = $74 Exercise price = $70 Risk-free rate= Call price Put price 4.40% per year, compounded continuously Maturity = 4 months Standard deviation = 62% per year
What is the value of the following call option according to the Black Scholes Option Pricing Model? What is the value of the put options? Stock Price = $62.50 Strike Price = $60.00 Time to Expiration = 9 Months = 0.75 years. Risk-Free Rate = 2.0%. Stock Return Standard Deviation = 0.45. Draw the payoff picture at expiration for a long position in a call option that has a premium of $1.75 and a strike price of $40. Draw the payoff picture for a short position in the call option given in Problem 2. Draw the payoff picture at expiration for a long position in a put option that has a premium of $3.50 and a strike price of $35. Draw the payoff picture for a short position in the put option given in Problem 4.
What are the prices of a call option and a put option with the following characteristics? (Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.) Stock price Exercise price Risk-free rate Maturity Standard deviation Call price Put price = $81 = $75 3.60% per year, compounded continuously = 5 months = 57% per year
What are the prices of a call option and a put option with the following characteristics? Stock price = $93 Excerise price = $90 Risk - free rate = 4% per year, compounded continuously Maturity = 5 months Standard deviation = 62% per year
Consider the following information on a particular stock: Stock price = $89 Exercise price = $85 Risk-free rate = 3% per year, compounded continuously Maturity = 8 months Standard deviation = 59% per year 1. What is the delta of a call option? 2. What is the delta of a put option?
Using the Black-Scholes model find the premium on a call option with an exercise price of $50 on a share currently priced at $40. Assume the riskless rate of 1% per annum and the option has two years to expiration. The risk of the stock is measured by a σ value of 0.15. Decompose the premium into intrinsic value and time value? By how much is the call option priced above minimum value? Repeat the exercise for a current share price of $60.
Using the binomial call option model to find the current value of a call option with a $25 exercise price on a stock currently priced at $26. Assume the option expires at the end of two periods, the riskless interest rate is ½ percent per period. What are the hedge ratios?
Find the implied volatility (to 2 decimals, for example, �=8.23% ) of a Put option with a time to expiration of 11 months and a price of $6.13 The stock is currently trading at $47. The riskless rate is 2% per annum, and the strike/exercise price of the option is $50. Hint: compute the Put price using the same formula as in exercise 4 , as a function of the volatility �. Then use Solver to change the volatility cell in order to obtain a price of $6.13 \table[[�1=,-0.0614997,,So =,47],[�2=,,4,�=,50],[,,,�=,2%