T-bills currently yield 5.7 percent. Stock in Nina Manufacturing is currently selling for $56 per share. There is no possibility that the stock will be worth less than $49 per share in one year. (Round answers to 2 decimal places. If the answer is zero, input as "0".)

a. The value of a call option with an exercise price of $42 is $________. The intrinsic value is $14.

b. The value of a call option with an exercise price of $30 is $_________ . The intrinsic value is $26.

c. The value of a put option with an exercise price of $42 is $_________. The intrinsic value is $0.

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T-bills currently yield 5.7 percent. Stock in Nina Manufacturing is currently selling for $56 per share. There is no possibility that the stock will be worth less than $49 per share in one year. (Round answers to 2 decimal places. If the answer is zero, input as "0".)

a. The value of a call option with an exercise price of $42 is $________. The intrinsic value is $14.

A person can buy the call and short the stock.
Amount received on shorting the stock= $56
If this amount is invested at the risk free rate of 5.70%
Amount at the end of 1 year= $59.28 =56 x exp ( 5.7% )
Since there is no possibility that the stock will be worth less than $49 per share in one year, ie the share price at the end of ...

Solution Summary

The value of call an put options are calculated for different exercise prices.

...Calculates the value of call and put options using Black ... $2 dividend just prior to the option's expiration day ... A) Calculate the Black-Scholes value for a European ...

... So 6.56+32/(1+6%)^1=p+33 36.7487=p+33 p=3.748679 Hence the value of the put option is $3.75. Solution calculates the value of put option in the given case ...

... very close to the value calculate The approximation ... very close to the value calculated using option... Using option calculator Stock Price $58.00 Exercise Price ...

... determined in Q2, use Derivagem to calculate the implied volatility of the put option. ... put-call parity and implied volatility for European options? ...

...Calculates the implied volatility of the call option, uses ... in Q2, use Derivagem to calculate the implied ... are such that the implied volatility calculated fro. ...

... file for complete details on how the numbers were calculated. ... B) Calculate the price of a 91-day European-style ... is similar to the method for calculating th The ...

... 5 and 6. (Do not use continuous compounding to calculate the present ... Note: the values of calls and puts have been calculated using option calculator). ...

... price determined in Q2, use Derivagem to calculate the implied ... a put, and then using Derivagem calculates the volatility ... yield is 2% and the option expires on ...

... Then, the price will either go up by 10% or down by 10% at the end of year (t = 1). A call option on the stock has an exercise ...Calculate the put price at t ...