D Question 9 Apple stock is trading at S = $200 while a put option on Apple that expires in one year with strike price $220 is trading at P220 (200) = $27. Assuming there is no arbitrage in the market and that the risk-free interest rate r is zero, what is the value of a call option on Apple that expires in one year with strike price $220, C220 (200) ? Please express your answer in dollars, rounded to the nearest integer dollar.
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- A stock sells P110. A call option on the stock with an exercise price of P105 and expires in 43 days. If the interest rate is 0.11 and the standard deviation of the stock's return is 0.25, what is the price of the CALL OPTION according to the Black-Scholes Model? A. P6.92 B. P8.05 C. P7.68 D. P6.88Back Open in Safa Consider a stock with a volatility of its logarithm of =0.2. The current price of the stock is $88 and it pays no dividends. Find the option prices on this stock that has an expiration date 4 months from now and a strike price of $90. The current interest rate is 15% compounded monthly. (Write the answers with two decimal places. x.yz) European call option premium European put option premium = $4 Home Courses Tasks Calendar Messages Back Open in Safa European put option premium =| American call option premium = 24 American put option premium = %24 %24An increase in the rate of interest A fall in the level of demand A decrease in the rate of interest A stock sells P110. A call option on the stock with an exercise price of P105 and expires in 43 days. If the interest rate is 0.11 and the standard deviation of the stock's return is 0.25, what is the price of the CALL OPTION according to the Black-Scholes Model? P6.92 P8.05 T P7.68 P6.88 O Focu: States)
- Q.3Determine the risk-neutral value for a European put option (for a FLB (First Local Bank) share) that expires in eight months. The strike price is R500 and the current price is R650. The interest rate is 11%, and the volatility of the security is 0.026.■ Yegi’s Fine Phones has a current stock price of $30. You need to findthe value of a call option with a strike price of $32 that expires in3 months. Use the binomial model with one period until expiration(i.e., t = 0.25 and n= 1). The factor for an increase in stock price isu = 1.15; the factor for a downward movement is d = 0.85. Whatare the possible stock prices at expiration? ($34.50 or $25.50)What are the option’s possible payoffs at expiration? ($2.50 or$0) What are pu and pd? (0.5422 and 0.4429) What is the currentvalue of the option (assume each month is 1/12 of a year)? ($1.36)N3 TLSA is currently trading at $170 per share. If we are valuing a call option on TSLA, and Elon Musk tweets about a new TSLA electric semi that will come out soon and in response TSLA stock instantly goes up by $10 per share, a TSLA $160 call option will go up by _______ a TSLA $180 call option (assume the calls have the same maturity or expiration date).
- Aa.1 The current price of stock XYZ is 100. In one year, the stock price will either be 120 or 80. The annually compounded risk-free interest rate is 10%. i. Calculate the no-arbitrage price of an at-the-money European put option on XYZ expiring in one year. ii. Suppose that an equivalent call option on XYZ is also trading in the market at a price of 10. Determine if there is a mis-pricing. If there is a mis-pricing, demonstrate how you would take advantage of the arbitrage opportunity.Suppose that an American put option with a strike price of $155.5 and maturity of 12.0 months costs $11.0. The underlying stock price equals 143. The continuously compounded risk-free rate is 6.5 percent per year. What is the potential arbitrage profit from buying a put option on one share of stock? O 12.401 1.5 no arbitrage profit available 11.943 1.67833. 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.
- 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.Q5. Consider a six-month European put option on a non- dividend-paying stock. The current stock price is $100 and the strike price is $105. The risk-free rate is 10% per annum with semiannual compounding. A lower bound for the price of the European put option is $ _ If the put option were an American put option, a lower bound would be $_ Q6. The price of a European call that expires in six months and has a strike price of $50 is $2. The current underlying stock price is $50, and a dividend of $2 is expected in three months from now. The risk-free interest rate is 10% per annum with quarterly compounding. For the same stock, what is the price of a European put option with the same maturity and strike price? $ Q7. Suppose that c1, c2, and c3 are the prices of European call options on a particular stock with strike prices K1, K2, and K3, respectively, and that p1, p2, and p3 are the prices of European put options on the same stock with strike prices K1, K2, and K3, respectively, where K…The stock price of Facebook is $28 and the strike price of a put option with 4 month maturity on a non-dividend-paying stock is $25. The risk-free interest rate is 8% per annum. With this information, the upper bound for the price of the call option with same strike price and expiration date is O I. Cts 25 O II. t s 28 O III. ct s 20.3074 O IV. None of the above.