IBM stock currently sells for 84 dollars per share. Over 8 months the price will either go up by 7.5 percent or down by-3.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. A call option with strike price 83 and maturity of 8 months has a delta of 0.82766. If you are short one call option, what is the future value in 8 months of a delta-neutral portfolio? O 72.652 60.575 O 74.738 66.395 67.438
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- IBM stock currently sells for 84 dollars per share. Over 8 months the price will either go up by 7.5 percent or down by -3.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. A call option with strike price 83 and maturity of 8 months has a delta of 0.82766. What is the value of this call option? 0.62579 O2.6708 O4.0788 2.9324 O4.3788IBM stock currently sells for 49 dollars per share. Over 12 months the price will either go up by 11.5 percent or down by -7.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. If you are short one call option with strike price 51 and maturity 12 months, what is the future value in 12 months of a delta-neutral portfolio?IBM stock currently sells for 49 dollars per share. Over 12 months the price will either go by 11.5 percent or down by -7.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. If you are short one call option with strike price 51 and maturity 12 months, what is the present value of a delta-neutral portfolio?
- IBM stock currently sells for 64 dollars per share. The implied volatility equals 40.0. The risk - free rate of interest is 5.5 percent continuously compounded. What is the delta of a call option with strike price 69 and maturity 9 months? Group of answer choices 0.4702 0.0751 0.5319 0.2574IBM stock currently sells for 44 dollars per share. Over 5 months the price will either go up by 13.5 percent or down by -6.5 percent. The risk-free rate of interest is 7.0 percent continuously compounded. A call option with strike price 45 and maturity of 5 months has a delta of 0.56136. If you are short one call option, what is the future value in 5 months of a delta-neutral portfolio? 22.971 26.429 23.095 28.035 26.838ABC stock is currently trading at R70 per share. A dividend of R1 is expected after three monthsand another one of R1 after six months. A European call option on ABC stock has a strike priceof R65 and 8 months to maturity. Given that the risk-free rate is 10% and the volatility is 32%,compute the price of the option.
- A call option has X=$52 and expire in 360 days (suppose we have 360 days in one year). The risk-free rate is 4%. The call is priced at $11. A put option has X-$52 and is priced at $1. The underlying asset is priced at S0=$43. Suppose in our investments, we could involve one call, one put, one bond, and on stock. How much arbitrage profit could we possibly obtain?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.IBM stock currently sells for 44 dollars per share. Over 5 months the price will either go up by 13.5 percent or down by -6.5 percent. The risk-free rate of interest is 7.0 percent continuously compounded. What is the delta of a put option with strike price 45 and maturity of 5 months? -0.56136 -0.11364 -0.43864 0.43864 0.56136
- A stock is selling today for $110. The stock has an annual volatility of 64 percent and the annual risk-free rate is 7 percent. c. Calculate the fair price for a 1 year European put option with an exercise price of $95. d. Calculate how much the current stock price would need to change for the purchaser of the put option to break even in one year. e. Calculate the level of volatility that would make a $95 call option sell for $30. (Use Goal Seek or Solver). f. Calculate the level of volatility that would make a $95 put option sell for $8. (Use Goal Seek or Solver). Please show work using excelA stock is selling today for $110. The stock has an annual volatility of 64 percent and the annual risk-free rate is 7 percent. Calculate how much the current stock price would need to change for the purchaser of the put option to break even in one year. Calculate the level of volatility that would make a $95 call option sell for $30. (Use Goal Seek or Solver). Calculate the level of volatility that would make a $95 put option sell for $8. (Use Goal Seek or Solver). Please show work in excel.A stock of 9 is currently priced at $38. A call option with an expiration of one year has an exercise price of $40. The risk-free rate is 4.2 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?