the current price of a stock is $100. what is the black scholes model price of a six month call option at strike $90, given an interest rate of 5% ? the volatility is 40% a. $17.76 b. $10.00 c. $15.00 d. $5.54
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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?Consider 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?Suppose ABC's stock price is currently $25. In the next six months it will either fall to $15 or rise to $40. What is the current value of a six-month call option with an exercise price of $20? The six-month risk-free interest rate is 5% (periodic rate). [Use the riskneutral valuation method]A. $20.00 B. $8.57 C. $9.52 D. $13.10
- Suppose a zero dividend payment stock is selling for K48 per share.The standard deviation of the return on this stock is 25%.The risk free rate is 8%.The option has a strike price of K50.For a 6 month call option on this stock,find; D1 and D2 N(d1) and N(d2) Value of the call option and Value of the put optionIBM stock currently sells for 64 dollars per share. The implied volatility equals 40.0. The risk - free rate of interest is 5.5 percent continuously compounded. What is the delta of a call option with strike price 69 and maturity 9 months? Group of answer choices 0.4702 0.0751 0.5319 0.2574A stock with a current price of $40 will either move up to $41 or down to $39 over the next period. The risk-free rate of interest is 2.45 percent. What is the value of a call option with a strike price of $40?
- Suppose that shares of FC Inc. are trading at $100. Consider an American put option withstrike price 110. The option matures two periods from now and it pays no dividends. The price can go upby 15% or down by 10% in each period. What is the price of the option today? The risk-free rate is 7%.A stock price is currently 40 and has a volatility of 10% and a dividend yield of 2%. the risk-free rate is 7%. what is the value of an american six-month put option with a strike price of 42 using a two-step tree? a. $1.85 b. $1.96 c. $2.36 d. $2.75Consider a European call option on a stock with current price $100 and volatility 25%. The stock pays a $1 dividend in 1 month. Assume that the strike price is $100 and the time to expiration is 3 months. The risk free rate is 5%. Calculate the price of the the call option.
- The Moon company currently sells for 100 $. The annual stock price volatility is %10 and risk- free interest rate %8, the price of a call on a company’s stock with strike price 200 $ and time period 2 months. Find the stock option price with Black and Scholes Model. If option market value 320 $ what is the option strategy?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.If a particular stock does not pay dividends and is currently priced at $24 per share, what should be the price of a call option with a maturity of one year and a strike price of $24.5 if put options with the same features currently cost $2? Assume a risk free rate of 2%. (use 5 decimal places)
