The current spot price of a stock is $50, the expected return of the stock is 7%, and the volatility of the stock is 20%. The risk-free rate is 5%. Find an 80%-condence interval for the stock price in 3 months. Also compute the expected percent change in the stock between months 0 and 6.
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- A stock is trading at $80 per share. The stock is expected to have a yearend dividend of $4 per share (D1 = $4), and it is expected to grow at some constant rate, g, throughout time. The stock’s required rate of return is 14% (assume the market is in equilibrium with the required return equal to the expected return). What is your forecast of gL?You have a stock trading at $100. The stock follows a lognormal distribution: with drift of 20% and volatilty of 30%. The risk free rate is 2%. What is the risk-neutral probability for a 3- month 100 put to expire in the money? Find N(-d2). Compare the results.Consider the following information on a particular stock:Stock price = $88Exercise price = $84Risk-free rate = 5% per year, compounded continuouslyMaturity = 11 monthsStandard deviation =53% per year. What What is the delta of a call option?
- Y shares have a monthly average return of 1% and a monthly return standard deviation of 6%. Returns are assumed to be normally distributed. Provide the following risk measures and show your working. Suppose there are 21 trading days in a month. Use 4-digit decimal places throughout your calculation. Calculate the stock's Value-at-Risk at the 95% level over a 1 day horizon. Calculate the stock's Value-at-Risk at the 95% level over 1 year horizon.You have found the following information:Stock price = $90Exercise price = $96Call price = $5Put price = $10Expiration is in 6 monthsWhat is the risk-free rate implied by these prices?The current spot price of a stock is $89.00, the expected rate of return is 9.8%, and the volatility of the stock is 18%. The risk-free rate is 3.3%. Assume the log-normal model. (a) Calculate the Delta A. and Vega v. of a European call with strike $94.00 expiring in 14 months. Enter your solution for A, to three decimal places. Enter your solution for v. as a dollar value to two decimal places. Ac = Vc = (b) Calculate the Delta A, and Vega v, of a European straddle with strike $94.00 expiring in 14 months. Enter your solution for As to three decimal places. Enter your solution for v, as a dollar value to two decimal places. As =
- A stock is expected to earn 10.0% over the next year with a 40% probability and 3.0% otherwise. What is the standard deviation of returns based on this scenario analysis? Answer in percent, rounded to one decimal place.You have been following a stock for 6 months and the following is its past return Year 1: -5% Year 2: -10% Year 3: 15% Year 4: 5% Year 5: 10% Year 6: 15% What is the expected return and standard deviation of the stock based on the historical data? Assume normal distribution, what is VaR at 5% for this stock? What is the Sharpe ratio of the stock based on historical data, risk free rate is 1%?Consider a stock with an initial price of $40, an expected return of 16% per annum, and a volatility of 20% per annum. Determine the probability distribution of the stock price ST in 6 months’ time
- The current price of a stock is $100 and has volatility σ of 0.25. The continuous risk free rate is 6.5%. The expected price in 3 months is $110. The value to the short (seller) and to the long (buyer) would be?A stock is trading at $80 per share. The stock is expected to have a year-end dividend of $4 per share (D1 = $4), and it is expected to grow at some constant rate g throughout time. The stock’s required rate of return is 14% (assume the market is in equilibrium with the required return equal to the expected return). What is your forecast of g?Given six years of percentage return of Stock A and Stock B, identify the expected return, and risk of each instrument. Assume that each year, has equal chances of reoccurrence. Stock A Stock B 20X1 10 20 20X2 -15 -20 20X3 20 -10 20X4 25 30 20X5 -30 -20 20X6 20 60 a. Which of the two stocks is riskier? Why? b. Which of the stocks is expected to yield a higher return? Why? c. Where will you invest?