Question
4. A stock price is currently $45. It is known that at the end of one month it will be either $42 or $38. The
4. A stock price is currently $45. It is known that at the end of one month it will be either $42 or $38. The risk-free interest rate is 10% per annum with continuous compounding. What is the value of a one-month European call option with a strike price of $40?
A. 4.35 B. 3.66 C. 3.12 D. 4.99 E. 4.49
5. A stock price is currently $52. It is known that at the end of six months it will be either $55 or $45. The risk-free interest rate is 10% per annum with continuous compounding. What is the value of a six-month European put option with a strike price of $50?
A. 0.20 B. 0.41 C. 0.26 D. 0.31 E. 0.16
6. A stock price is currently $52. It is known that at the end of six months it will be either $60 or $42. The risk-free interest rate is 10% per annum with continuous compounding. What is the value of a six-month European put option with a strike price of $50?
A. 1.45 B. 1.26 C. 2.16 D. 2.26 E. 2.90
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Financial Management Of Health Care Organizations
Authors: William N. Zelman, Michael J. McCue, Noah D. Glick, Marci S. Thomas
5th Edition
1119553849, 9781119553847
