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Posted on Sep 05, 2024

3. The Light-Step Company stock is currently selling for $27. There is a put option on the stock with an exercise price of $26 with

3. The Light-Step Company stock is currently selling for $27. There is a put option on the stock with an exercise price of $26 with 9 months to maturity. The risk free rate is 1.5% and the variance is .0625. A. What is the value of the put? Provide all your calculations for components (N(-41), etc.) B. What is the value of the call using Put-Call parity? C. If Light-Step paid a dividend of $0.54 per share what would be the value of the put? Cumulative Probabilities of the Standard Normal Distribution Function 0 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.0000 0.0000 0.0040 0.0080 0.0120 0.0160 0.0199 0.0239 0.0279 0.0319 0.0359 0.1000 0.0398 0.0438 0.0478 0.0517 0.0557 0.0596 0.0636 0.0675 0.0714 0.0754 0.2000 0.0793 0.0832 00871 0.0910 0.0948 0.0987 0 1026 0.1064 0.1103 0.1141 0.3000 0.1179 0.1217 0 1255 0.1293 0.1331 0.1368 0 1406 0.1443 0.1480 0.1517 0.4000 0.1554 0.1591 0.1628 0.1664 0.1700 0.1736 0.1772 0.1808 0.1844 0.1879 0.5000 0.1915 0.1950 0 1985 0.2019 0.2054 0 2088 0.2123 0.2157 0.2190 0.2224 0.5000 0.2258 02291 0.2324 0.2357 0.2389 0.2422 0.2454 0.2486 0.2518 0.2549 0.7000 0.2580 02612 0.2542 0 2573 0.2704 0.2734 0.2764 0.2794 0.2823 0.2852 0.8000 02882 0.2910 02939 0.2967 0.2996 0.3023 0.3051 0.3079 0.3106 0.3133 0.9000 0.3159 0.3136 013212 0.3238 0.3264 0.3289 0.3315 0.3340 0.3365 0.3389 10000 0.3413 0.3438 0.3461 0.3485 0.3508 0.3531 03554 0.3577 0.3599 0.3621 11000 0.3645 0.3665 013686 0.3708 0.3729 0.3749 03770 0.3790 0.3810 0.3830 1.2000 03349 0.3869 0.3868 03907 0.3925 0.3944 0.3962 0.3980 0.3997 0.4015 1.2000 0,4032 0.4049 0.4066 0.4082 6.4099 0.4115 0.4131 0.4147 0.4162 0.4177 1.4000 0.4192 0 4207 0.4222 0.4236 0.4251 0.4265 0.4279 0.4292 0.4306 0.4319 15000 0.4532 0.4345 0.4357 0.4370 0.4352 0.4394 0.4406 0.4418 0.4430 0.4441 1.6000 04452 0.4463 0.4474 0.4485 0.4495 0.4505 0.4515 0.4525 0.4535 0.4545 17000 0.4554 0.4554 0.4973 0.4582 0.4591 0.4599 0.4608 0.4616 0.4625 0.4633 18000 0.4641 0.4649 0.4656 0.4664 0.4673 0.4578 0.4686 0.4693 0.4700 0.4706 1 9000 0.420 0.4719 0.4726 0.4732 0.4738 04744 0.4750 0.4756 0.4762 0.4767 20000 0.4773 0.4278 0.4763 0.4788 0.4793 0 4793 0.4803 0.4808 0.4812 0.4817 2.1000 0.4821 04826 0.4830 0.4834 0.4838 0.4542 0.4846 0.4850 0.4854 0.4857 2.2000 0.4862 0.4865 0.4868 0.4871 0.4875 0.4878 0.4853 0.4884 0.4887 0.4890 2.3000 04593 04895 0.4898 0.4901 0.4904 04906 0.4909 0.4911 0.4913 0.4916 2.4000 0,4918 04920 0.4922 0.4925 0.4927 0.4929 04931 0.4932 0.4934 0.4936 2S000 0.4938 0.4940 0.4945 0.4943 0.4945 0.4946 0.4948 0.4949 0.4951 0.4952 2.8000 0.4953 0,4955 0.4956 04957 0.4959 04960 0.4961 0.4962 0.4963 0.4964 2.7000 0.4965 0.4966 0.4067 0.4965 0.4969 0.4970 0.4973 0.4972 0.4973 0.4974 2.8000 0.4974 04975 0.4976 0.4977 0.4972 04978 0.4979 0.4950 04980 0.4981 2.9000 0.4981 0.4982 0.4989 0.4983 04954 0.4984 0.4985 0.4985 0.4986 0.4986 3.0000 0.4987 0.4987 0.4987 0.9988 0.4988 0.4989 0.4989 0.4989 0.4990 04990 3.1000 0.4990 0.4991 04991 0.4091 0.4992 0.4992 0.4992 0.4992 0.4993 0.4993 3.2000 0.4993 0.4993 04994 04994 0.4994 0.4994 04994 0.4995 0,4995 0.4995 32000 0.4995 0499 14996 0496 0.4995 04996 04996 0.4996 0.4998 0.4997 3.4000 04997 0.49.97 0.4997 6.4997 04997 0.4097 0.4997 0.4997 0.4998 0.4998 35000 0.4998 0,4998 0.4988 0.4998 0.4995 0.4995 04998 0499 0.4998 0.4998 3.6000 0.4998 0.4999 04999 0.4999 0.49 04999 0.4999 0.4999 0.4999 0,4999 3.2000 04999 0.4999 04999 04999 04009 044999 0.4999 0.4999 0.4999 0.4999 3.BOOD 0.4999 04999 04999 0.4999 04999 04999 o 5000 05000 0.5000 39000 D5000 O 5000 O 500D 5000 SOCO D5000 05000 05000 0.5000 0 5000 4 0000 0.3000 0.5000 05000 0.5000 05000 3000 5000 5000 0.5000 O 5000