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1 Approved Answer

Posted on Sep 07, 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 S0.54 per share what would be the value of the put? Cumulative Probabilities of the Standard Normal Distribution Function X 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 0.0871 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 0.6000 0.2258 0.2291 0.2324 0.2357 02389 0.2422 0.2454 0.2486 0.2518 0.2549 0.7000 0.2580 0.2612 0.2642 0.2673 0.2704 0.2734 0.2764 0.2794 0.2823 0.2852 0.8000 0.2881 0.2910 0.2939 0.2967 0.2996 0.3023 0.3051 0.3079 03106 0.3133 0.9000 0.3159 0.3186 0 3212 0.3238 0.3264 0.3289 0.3315 0.3340 0.3365 0.3389 10000 0.3413 0.3438 0.3461 0.3485 0.350B 0.3531 0.3554 0.3577 0.3599 0.3621 1 1000 0.3643 0.3665 0.3686 0.3708 0.3729 0.3749 0.3770 0.3790 0.3810 0.3830 1.2000 0.3849 0.3869 0.3888 0.3907 0.3925 0.3944 0.3962 0.3980 0 3997 04015 1.3000 0.4032 0.4049 0.4066 0.4082 0.4099 0.4115 0.4131 0.4147 0.4262 0.4172 1.4000 0.4192 0.4207 0.4222 0.4236 0.4251 0.4265 0.4279 0.4292 0.4306 0.4319 1.5000 0.4332 0.4345 0.4357 04370 0.4382 0.4394 0.4406 04418 0.4430 0.4442 1.6000 0.4452 0.4463 0.4474 0.4485 0.4495 0.4505 0.4515 0.4525 0.4535 0.4545 1.7000 0.4554 0.4564 0.4573 0.4582 0.4591 0.4599 0.4608 0.4616 0.4625 0.4633 1.8000 0.4641 0.4649 0.4656 0.4664 0.4671 0.4678 0.4686 0.4693 0.4700 0.4706 1.9000 0.4713 0.4719 0.4726 0.4732 0.4738 0.4744 0.4750 0.4756 0.4762 04767 2.0000 0.4773 0.4778 0.4783 0.4788 0.4793 0.4798 0.4803 0.480B 0.4812 0.4817 2.1000 04821 0.4826 0.4830 0.4834 0.4838 0.4842 0.4846 0.4850 0.4854 0.4857 2 2000 0.4861 0.4865 0.4868 0.4871 0.4875 0.4878 0.4881 0.4884 0.4887 0.4890 2.3000 0.4893 0.4896 0.4898 0.4901 0.4904 0.4906 0.4909 0.4911 0.4913 0.4916 2.4000 0.4918 0.4920 0.4922 0.4925 04927 0.4929 0.4931 0.4932 0.4934 0.4936 2.5000 0.4938 0.4940 0.4941 0.4943 0.4945 0.4946 0.4948 0.4949 0.4951 0.4952 2.6000 0.4953 0.4955 0.4956 0.4957 0.4959 0.4960 0.4961 0.4962 0.4963 0.4964 2.7000 0.4965 0.4966 0.4967 0.4968 0.4969 0.4970 0.4971 0.4972 0.4973 0.4974 2.8000 0.4974 0.4975 0.4976 0.4977 0.4977 0.4978 0.4979 0.4980 0.4980 0.4981 2.9000 0.4981 0.4982 0.4983 0.4983 0.4984 0.4984 0.4985 0.4985 0.4986 0.4956 3.0000 0.4987 0.4987 0.4987 0.4988 0.4988 0.4989 0.4989 0.4989 0.4990 0.4990 3.1000 0.4990 0.4991 0.4991 0.4991 0.4992 0.4992 0.4992 0.4992 0.4993 0.4993 3.2000 0.4993 0.4993 0.4994 0.4994 0.4994 0.4994 0.4994 0.4995 0.4995 0.4995 3.3000 0.4995 0.4995 0.4996 0.4996 0.4996 0.4996 0.4996 0.4996 04996 0.4997 3.4000 0.4997 0.4997 0.4997 0.4997 0.4997 04997 0.4997 0.4997 0.4998 0.4998 3.5000 0.4998 0.4998 0.4998 0.4998 0.4998 0.4998 0.4998 0.4998 0 4998 0.4998 3.6000 0.4998 0.4999 0.4999 0.4999 0.4999 0.4999 0.4999 0.4999 0.4999 04999 3.7000 0.4999 0.4999 04999 0.4999 0.4999 0.4999 0.4999 0.4999 0.4999 0.4999 I 3.8000 04999 0.4999 0.4999 0.4999 0.4999 0.4999 0.4999 0.5000 05000 0 5000 3.9000 0.5000 0.5000 0.5000 0.5000 0 5000 0.5000 0.5000 0.5000 05000 0.5000 4.0000 0.5000 0 5000 0.5000 0.5000 0.5000 0.5000 05000 0.5000 5000 0.5000