Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
Scribd Logo
Upload

Welcome to Scribd!

  • 54 views

    13.13. What Is The Price of A European Put Option On A Non-Dividend-Paying Stock

    Uploaded by

    chocolatedoggy12
    This document contains the solutions to two homework problems calculating the price of European put options. Problem 13.13 calculates the put price as $5.06 when the stock price is $52, strike is $50, interest is 12%, volatility is 30%, and time is 3 months. Problem 13.14 calculates the put price as $6.40 when the stock price is $69, strike is $70, interest is 5%, volatility is 35%, and time is 6 months.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd

    13.13. What Is The Price of A European Put Option On A Non-Dividend-Paying Stock

    Uploaded by

    chocolatedoggy12
    54 views1 page
    This document contains the solutions to two homework problems calculating the price of European put options. Problem 13.13 calculates the put price as $5.06 when the stock price is $52, strike is $50, interest is 12%, volatility is 30%, and time is 3 months. Problem 13.14 calculates the put price as $6.40 when the stock price is $69, strike is $70, interest is 5%, volatility is 35%, and time is 6 months.

    Original Description:

    This is my homework for module 10.

    Original Title

    Module 10 Homework

    Copyright

    © © All Rights Reserved

    Available Formats

    DOCX, PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    This document contains the solutions to two homework problems calculating the price of European put options. Problem 13.13 calculates the put price as $5.06 when the stock price is $52, strike is $50, interest is 12%, volatility is 30%, and time is 3 months. Problem 13.14 calculates the put price as $6.40 when the stock price is $69, strike is $70, interest is 5%, volatility is 35%, and time is 6 months.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    54 views1 page

    13.13. What Is The Price of A European Put Option On A Non-Dividend-Paying Stock

    Uploaded by

    chocolatedoggy12
    This document contains the solutions to two homework problems calculating the price of European put options. Problem 13.13 calculates the put price as $5.06 when the stock price is $52, strike is $50, interest is 12%, volatility is 30%, and time is 3 months. Problem 13.14 calculates the put price as $6.40 when the stock price is $69, strike is $70, interest is 5%, volatility is 35%, and time is 6 months.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    of 1

    Courtney Gilliam

    4.5.2017
    FIN 433
    CRN: 27706
    UIN: 00981224
    FIN 433 HW (13.13 & 13.14)

    13.13. What is the price of a European put option on a non-dividend-paying stock


    when the stock price is $52, the strike price is $50, the risk-free interest rate is 12%
    per annum, the volatility is 30% per annum, and the time to maturity is three
    months?
    D1= ln (52/50) + (.12+.32/2).5 / .300.25 = .5365
    D2= .5365 - .300.25 = .3865
    52*.7042 - 50e-0.03 * .6504 = 5.06

    13.14. What is the price of a European put option on a non-dividend-paying stock


    when the stock price is $69, the strike price is $70, the risk-free interest rate is 5%
    per annum, the volatility is 35% per annum, and the time to maturity is six months?
    D1= ln (69/70) + (.05+.352/2).5 / .350.5 = .1666
    D2= .1666 - .350.5 = .0809
    70e-0.025 * .5323 - 69 * .4338 = 6.40

    You might also like