A non-dividend paying stock is selling for $52.50. The standard deviation of its returns is 45% p.a. The risk free rate is 4% p.a.   ( c) What is the value of a 6-month put over the same stock with a strike price of $60? Calculate your answer based on this input table.       Inputs       Standard Deviation (annual)     45%       Maturity (in years)     0,50       Risk-Free Rate (annual)     4%       Exercise Price     $60,00       Dividend Yield (annual)     0       Stock Price=$52.50     $52,50                     d1 is:     -0,1977

a) Consider these three stock returns with the following annualised characteristics: Stock A Stock B Stock C Expected Return 16% 10% 3% Stock A Stock B Stock C Standard deviation 26% 22% 11% Stock A 1 0.4 0.2 According to the Capital Asset Pricing Model (CAPM), which stock is a better buy, when the market's expected return is 8%, and risk-free rate is 4%? What is the alpha of each stock? Plot the Security Market Line (SML) and each stock's risk-return point on one graph. b) Now suppose that the same stock returns have the following correlation matrix: Beta Stock B 1.5 1.1 0.3 1 0.3 Stock C 1 Weights 55% 35% 10% If we form a three-stock portfolio by investing 55%, 35% and 10% in Stock A, B and C, respectively, what is the expected return and variance of this portfolio?

Given the following information from Ivanhoe Corporation, what price would the CAPM predict that the company's stock will trade for one year from today? (Do not round intermediate calculations. Round final answer to 2 decimal places, e.g. 50.75.) Risk free rate: Market risk premium: Beta: Current stock price: Annual dividend: Price $ 2.6 % 8.2 % 0.75 $66.20 $1.79

The price of a non-dividend-paying stock is $100. Suppose that the contínuously compounded risk-free rate is 1% per year, the market expected return is 7% (continuously compounded), the stock beta is 1.2, and the stock price volatility is 30% per year. Assume that the stock price follows the Geometric Brownian Motion. a) Solve for the expected stock return per year 0.32 (0.01 + 1.2 * 0.07) + = 0.139 b) A derivative pays off $100 if the stock price is in the range between $90 and $110 in year two and 0 otherwise. Determine its current price. 100 0.1392 = 75.73 c) What is the two-year 95% VaR if you short 100 shares of the stock today given that N (0.05) = -1.645? Note that the stock price follows a log normal distribution rather than a normal distribution