The spot price of a share of XYZ stock is $100. The annual risk-free continuously compounded interest rate is 0.07, and the stock pays no dividends. The annualized standard deviation of the continuously compounded stock return is 0.2. Find the price of a European call option on the stock with strike price $110 and that matures in 4 years
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The spot price of a share of XYZ stock is $100. The annual risk-free continuously
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- Suppose that Stock XYZ is currently trading at $50 and does not pay any dividends. Using a binomial tree with two periods, we would like to price a European call option with a strike of $50 and a maturity of six months. Assume that annual continuously compounded interest rate is 1% and the volatility of the stock is 30% per year. What is the value of q? 0.5565 0.4709 0.5000 0.3401 0.5000. You selected this answer.The current price of a non - dividend paying stock is $617 and the annual standard deviation of the rate of return on the stock is 32%. A European call option on the stock expires in 0.5 years. Its strike price is $630. The risk - free rate is 2% (continuously compounded) What should be the price (premium) of the call option?Suppose that Stock XYZ is currently trading at $50 and does not pay any dividends. Using a binomial tree with two periods, we would like to price a European down-and-in call option written on this stock with a strike price of $40, barrier level of $48 and expiration date in three months. Assume that annual continuously compounded interest rate is 5% and the volatility of the stock is 20% per year. What is the price of the barrier option? 0.7.28 0.9.45 O101 O 322
- A European put option on a non-dividend paying stock has strike price of $40 and time to maturity 9 months. Assume the risk-free interest rate is 5% per annum, the volatility is 20% per annum and the current stock price is $38. Using the Black-Scholes model, calculate the price of the European put option.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.Suppose that Stock XYZ is currently trading at $50 and does not pay any dividends. Using a binomial tree with two periods, we would like to'price a European down-and-in call option written on this stock with a strike price of $40, barrier level of $48 and expiration date in three months. Assume that annual continuously compounded interest rate is 5% and the volatility of the stock is 20% per year. What is the price of the barrier option? 1.01 9.45 3.22 7.28
- A stock is selling today for $110. The stock has an annual volatility of 64 percent and theannual risk-free rate is 7 percent.a. Calculate the fair price for a 1-year European call option with an exercise price of $95.b. Calculate how much the current stock price would need to change for the purchaser ofthe call option to break even in one year.c. Calculate the fair price for a 1 year European put option with an exercise price of $95A stock is selling today for $110. The stock has an annual volatility of 64 percent and the annual risk-free rate is 7 percent. a. Calculate the fair price for a 1 year European call option with an exercise price of $95. b. Calculate how much the current stock price would need to change for the purchaser of the call option to break even in one year. c. Calculate the fair price for a 1 year European put option with an exercise price of $95. d. Calculate how much the current stock price would need to change for the purchaser of the put option to break even in one year. e. Calculate the level of volatility that would make a $95 call option sell for $30. (Use Goal Seek or Solver). f. Calculate the level of volatility that would make a $95 put option sell for $8. (Use Goal Seek or Solver). Please show work using excelSuppose that a stock price is currently 68 dollars, and it is known that at the end of each of the next two six-month periods, the price will be either 19 percent higher or 19 percent lower than at the beginning of the period. Find the value of a European put option on the stock that expires a year from now, and has a strike price of 67 dollars. Assume that no arbitrage opportunities exist, and a risk-free interest rate of 7 percent. Answer = dollars.
- ABC stock is currently trading at R70 per share. A dividend of R1 is expected after three monthsand another one of R1 after six months. A European call option on ABC stock has a strike priceof R65 and 8 months to maturity. Given that the risk-free rate is 10% and the volatility is 32%,compute the price of the option.The current price of a non-dividend-paying stock is$57.14and you expect the stock price to either go up by a factor of 1.152 or down by a factor of 0.868 over the next 0.5 years. A European call option on the stock has a strike price of$57and expires in 0.5 years. The risk-free rate is6%(annual, continuously compounded). 1. What is the option payoff if the stock price goes up? 2. What is the risk-neutral probability of an up movement?3.What is the value of the option?A stock is selling today for $110. The stock has an annual volatility of 64 percent and the annual risk-free rate is 7 percent. c. Calculate the fair price for a 1 year European put option with an exercise price of $95. d. Calculate how much the current stock price would need to change for the purchaser of the put option to break even in one year. e. Calculate the level of volatility that would make a $95 call option sell for $30. (Use Goal Seek or Solver). f. Calculate the level of volatility that would make a $95 put option sell for $8. (Use Goal Seek or Solver). Please show work using excel