A stock is selling at INR 1,250. There exists a call option on this stock with expiry in 60 days and an exercise price of INR 1,300. It is estimated that every 30 days, the stock price could either increase by 7% or decrease by 5%. The risk-free rate is 6%. Calculate the put price by using the two-period binomial options pricing model.(Consider 360day-year)
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A stock is selling at INR 1,250. There exists a call option on this stock with expiry in 60 days
and an exercise price of INR 1,300. It is estimated that every 30 days, the stock price could
either increase by 7% or decrease by 5%. The risk-free rate is 6%. Calculate the put price by
using the two-period binomial options pricing model.(Consider 360day-year)
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- Consider a stock with a current price of P = $27.Suppose that over the next 6 months the stockprice will either go up by a factor of 1.41 or downby a factor of 0.71. Consider a call option on thestock with a strike price of $25 that expires in6 months. The risk-free rate is 6%.(1) Using the binomial model, what are the endingvalues of the stock price? What are the payoffsof the call option?Consider an American Put option with time to expiry of 5 months and a strike price of 82. The current price of the underlying stock is 80. Divide the time to expiry into five 1-month intervals. In each interval, the stock price can either rise by 6, or fall by 6, with unknown probability. The risk-free rate is 4.2% per annum, continuously compounded. Use Binomial Model. What is the value of the option. Provide all necessary calculations.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.
- The current price of a stock is $20, and at the end of one year its price will be either $22 or $18. The annual risk-free rate is 2.0% (use daily compounding with 365 days/year), based on daily compounding. A 1-year call option on the stock, with an exercise price of $19, is available. Based on the binominal model, what is the option's value?(Please Show Work)A stock price is currently $30. It is known that at the end of one year, it will be either $36 and $24. The exercise price of a one-year European call option is $32. The risk-free interest rate is 5% per annum. a. Construct a binomial tree to show the payoff of the call option at the expiration date. b. Based on the binomial tree model, what is the value of the call option?A stock is currently selling for $39. Over the next two periods, the stock will move up by a factor of 1.29 or move down by a factor of 0.53 each period. A call option with a strick price of $50 is available. If the risk-free rate of interest is 3.2 percent per period, what is the value of the call option?
- The current price of a stock is $22, and at the end of one year its price will be either $27 or $17. The annual risk-free rate is 6.0%, based on daily compounding. A 1-year call option on the stock, with an exercise price of $22, is available. Based on the binomial model, what is the option's value? (Hint: Use daily compounding.)Consider an American Put option with time to expiry of 5 months and a strike price of 82. The current price of the underlying stock is 80. Divide the time to expiry into five 1-month intervals. In each interval, the stock price can either rise by 6, or fall by 6, with unknown probability. The risk-free rate is 4.2% per annum, continuously compounded. Use Binomial Model. (a) What is the evolution of the prices of the underlying asset in time? Show it on a binomial tree.A put option will mature in six months. The standard deviation of the underlying stock returns is 50% per year. The exercise price of the put option is $50 and the stock price is also $50. The risk-free interest rate is 3% per year. Using the Black- Scholes formula, what is the price of the put option? Show detailed work leading to your answer in the working sheet. $6.34 $7.08 $8.07 $3.64
- XYZ stock is currently traded at $40. Consider a put option on XYZ with $38 exercise price expiring in 6 months. Estimate the price of the option using two-period BOPM. Assume the stock price can go up by 10% and down by 15% each period (i.e., (6 months) / (2 periods) = 3 months). The annual risk-free interest rate is 6%. please use excel and show formulas. thanks!A stock is currently priced at $47. A call option with an expiration of 1 year has an exercise price of $50. The risk-free rate is 4 percent per year, compounded continuously, and the standard deviation of the stock's return is infinitely large. What is the price of the call option? Call option priceThe stock price of Copious Corp. is currently $30. The stock price 1 year(s) from now will be either $34 or $27. The annual risk-free rate is 1.4%. Using the binomial model, what is the value of a call option with an exercise price of $30 and an expiration date 1 year(s) from now?