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 ...

... 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 ...

...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). ...

... 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 ...

...Calculates option prices using Binomial Option Pricing and Black Scholes Option Pricing ... at time t=1,2 ,3 -- is calculated as follows. ... a) (ii) Calculate the price ...

...put-call parity) for the value you derived for problem 1, calculate the implied ... The following are calculated: 1. Using Black-Scholes option-pricing model ...

... (You can either use the equation for a put or calculate the value... a. Based on the delta you calculated in number 6 what position should you take in ...Put option: ...