Problem 22-12 Delta What are the deltas of a call option and a put option with the following characteristics? (A negative answer should be indicated by a minus sign. Do not round intermediate calculations and round your answers to 4 decimal places, e.g., .1616.) Stock price $50 = Exercise price = $50 4.4% per year, compounded Risk-free rate= continuously Maturity 9 months Standard deviation = 65% per year Answer is complete but not entirely correct. Call option delta 0.6255 Put option delta -0.3745x

Problem 22-12 Delta What are the deltas of a call option and a put option with the following characteristics? (A negative answer should be indicated by a minus sign. Do not round intermediate calculations and round your answers to 4 decimal places, e.g., .1616.) Stock price $50 = Exercise price = $50 4.4% per year, compounded Risk-free rate= continuously Maturity 9 months Standard deviation = 65% per year Answer is complete but not entirely correct. Call option delta 0.6255 Put option delta -0.3745x

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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es Problem 22-12 Delta What are the deltas of a call option and a put option with the following characteristics? (A negative answer should be indicated by a minus sign. Do not round intermediate calculations and round your answers to 4 decimal places, e.g., .1616.) = Stock price $50 Exercise price $50 Risk-free rate = 4.4% per year, compounded continuously Maturity 9 months Standard = 65% per year deviation Call option delta- Put option delta
Question 8 ABC stock has price $71.40 at noon, and currently pays no dividend. Consider a six-month European-style call on ABC stock. The call has price = 4.55, delta = 0.45, theta = -6.00/year, gamma = .026. Suppose that the stock price is still $71.40 in 1.0 months. What should be the (new) price of the call option?
D Question 5 Suppose there is one year until the expiration date, the stock price S = 100 and of vega v using CE ? (Hint: enter the exact number) = 0.2, = 0.1. Then what is the value e /27
Question A Consider a two-period binomial model, where each period is 6 months. Assume the stock price is $50.00, = 0.20, r = 0.06 and the dividend yield = 3.5%. What is the lowest strike price where early exercise would occur with an American put option? ........Full explain this question and text typing work only We should answer our question within 2 hours takes more time then we will reduce Rating Dont ignore this line.
QUESTION 18 Suppose that the 1-year, 2-year, 3-year, and 4-year spot rates are observed as follows: r1=9.7%, r2=10.2%, r3=10.9%, r4-12.3%, What must be the expected return in year 4 under the liquidity preference theory if the liquidity premium is 0.49%? Oa. 18.63% Ob. 16.61% c. 16.12% Od. 18.14%
Steck prce 7 $20 Today- use a I step bunomial tree to estimale price f a l year call on this stock. assume the pice Can uncrease or decrease in the next 10 o by equal ulith year Cikelihovd. Risk free rale is o 2% the strike is $ 21. tina the ratio (H) conHen out a decimal find the Call's valu o price today use above unformalion to price a put using call paity.
Problem 4 Consider a stock with current price $60. You are given: • Dividends of $1 each will be paid every three months; the next dividend will be paid in 2 months. • σ = 0.3. ⚫ The continuously compounded risk-free interest rate is 4%. Use the Black-Scholes methodology to price a nine-month at-the-money European put option on the stock.
Question 29 Assume the following data for a stock: risk-free rate 5 percent: beta (market) = 1.4; beta (size) - 0.4; beta (book-to- market)-1.1; market risk premium - 13 percent; size risk premium 9.7 percent; and book-to-market risk premium = 11.2 percent. Calculate the expected return on the stock using the Fama-French three-factor model. O 26.5 percent 14.8 percent O 25.1 percent 12.0 percent
Problem 15-11 Put-Call Parity (LO4, CFA1) A call option is currently selling for $4.40. It has a strike price of $55 and six months to maturity. The current stock price is $57 and the risk-free rate is 3.4 percent. The stock will pay a dividend of $2.05 in two months. What is the price of a put option with the same exercise price? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Price of a put option
Question 30 The graph below shows the value of a 2-month, $40-strike call option as a function of the underlying stock price. The stock (which pays no dividends) has a volatility of 25%, and the risk-free interest rate is 8%. At which stock price would the option's gamma be greatest? 0 a $30 06.535 0-540 04345 0+ $50 Option value $10 $2 $8 530 $35 $40 Underlying stock price $45 $50
Problem 16-06 Suppose the current value of a popular stock index is 650.50 and the dividend yield on the index is 3.0%. Also, the yield curve is flat at a continuously compounded rate of 6.5%. a. If you estimate the volatility factor for the index to be 16%, use the Black-Scholes model to calculate the value of an index call option with an exercise price of 664 and an expiration date in exactly three months. You may use Appendix D to answer the question. Do not round intermediate calculations. Round your answer to the nearest cent. $ b. If the actual market price of this option is $19.10, calculate the implied volatility coefficient. Do not round intermediate calculations. Round your answer to two decimal places. %
Problem 9-19 Assume that the risk-free rate of interest is 6% and the expected rate of return on the market is 12%. A stock has an expected rate of return of 7%. What is its beta? (Negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 2 decimal places.) Beta

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