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题目
BUSFIN 4229 SP2025 (4930) MIDTERM EXAM II- Requires Respondus LockDown Browser
单项选择题
Consider a European call option on a stock when there are ex-dividend rates in two months and five months. The dividend on each ex-dividend date is expected to be $0.60 in two months and $0.45 in five months from today. Given the following values as well: • Current stock price = $40 per share • Strike price = $40 per share • Volatility = 30% • Risk-free interest rate = 9% • Time to maturity = 6 months In the Black-Scholes model, what is the price of a European Call Option on a dividend paying stock?
选项
A.$3.76
B.$4.24
C.$4.56
D.$5.25
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类似问题
Stock A is currently trading at $100 per share. A binomial model indicates that in one year, the stock price will be either $120 or $80. At the moment, the effective one year interest rate is 5.21% (APR compounded annually). Using a one-period binomial model, calculate the price of a European put option on one share of Stock A, with a strike price of $95 and one-year maturity. Enter your final answer rounded to two decimal places. For example, enter 1.23 if your answer is $1.234, and enter -1.23 if your answer is -$1.234.
The price of Stock A can be described by a one-period binomial model and its current price is $100. In one period, the price of Stock A can increase by 30% or decrease by 30%. You observe that a European put option on Stock A with a strike price of $100 and a maturity of exactly one period is trading at a price of $14.12. There is 300 units of Stock A available in the market for you to short. You can also invest as much as you want at the 2% risk-free rate (quoted as an effective periodic rate). Calculate the maximum riskless profit you can make at today. Round your answer to two decimal places. If your answer is "123.4567", enter it as 123.46.
A non-dividend-paying stock is trading at $100 today. The three-month effective risk-free rate is 2%. A quant fund is offering a new type of derivative called "fixed option." A fixed option works as follows: At maturity, it pays $150 if the stock price is below the strike price. It pays $0 otherwise. The holder has the right, but not the obligation, to realize this payoff. You model the stock using a one-period binomial model with u = 1.3 and d = 0.7. An investor is considering the following option portfolio: Long one fixed option on the non-dividend-paying stock with a strike price of $150 and a maturity of three months Short one fixed option on the non-dividend-paying stock with a strike price of $90 and a maturity of three months Using the binomial model, what is the price that the investor will need to pay for such an option portfolio today? Round your answer to two decimal places. If your answer is "123.4567", enter it as 123.46.
Select all of the statements below that are TRUE.
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为了让更多留学生在备考与学习季更轻松,我们决定将Gold 会员限时免费开放至2025年12月31日!