40) The value of Dual Timer stock is $150. The standard deviation of the stock is 0.45. Determine the maximum and minimum value that the stock can achieve from today in 6 months, assuming that the size of the interval " " h " is 0.5 and Euler' s number is 2.71828. a. Up move =$175.2; down move =$100.2 b. Up move =$206.2; down move =$109.1 c. Up move =$183.5; down move =$105.3 d. Up move =$191.1; down move =$98.5 41) (Continuation) Determine the payoffs 6 months from today, both in an optimistic and in a pessimistic scenario, if you decide to purchase today a call option on Dual Time stock. Assume that this is an option in European terms and that the exercise price is $150. a. Optimistic: $25.2; pessimistic: $49.8 b. Optimistic: $41.1; pessimistic: $40.9 c. Optimistic: $33.5; pessimistic: $0 d. Optimistic: $56.2; pessimistic: 42) (Continuation) Assume that you are building a replicating portfolio in order to determine the value of a call option on Mc Graw Hill stock. Determine the maximum amount of money that you must borrow today if the 6month interest rate is 3.5 percent. a. $105.4 b. $106.4 c. $95.2 d. \$101.7 43) (Continuation) Determine the value of option delta. a. 0.53566 b. 0.57888 c. 0.55983 d. 0.54498 44) (Continuation) Determine the value of the call at the beginning of the investment period. a. $30.54 b. $27.96 c. $25.80 d. $31.72 45) (Continuation) Determine the payoffs 6 months from today, both in an optimistic and in a pessimistic scenario, if you decide to purchase today a put option on Dual Time stock. Assume that this is an option in European terms and that the exercise price is $150. a. Optimistic: $65.2; pessimistic: $42.7 b. Optimistic: $40.9; pessimistic: c. Optimistic: $33.5; pessimistic: $0 d. Optimistic: $56.2; pessimistic: $0 40) The value of Dual Timer stock is $150. The standard deviation of the stock is 0.45. Determine the maximum and minimum value that the stock can achieve from today in 6 months, assuming that the size of the interval " " h " is 0.5 and Euler' s number is 2.71828. a. Up move =$175.2; down move =$100.2 b. Up move =$206.2; down move =$109.1 c. Up move =$183.5; down move =$105.3 d. Up move =$191.1; down move =$98.5 41) (Continuation) Determine the payoffs 6 months from today, both in an optimistic and in a pessimistic scenario, if you decide to purchase today a call option on Dual Time stock. Assume that this is an option in European terms and that the exercise price is $150. a. Optimistic: $25.2; pessimistic: $49.8 b. Optimistic: $41.1; pessimistic: $40.9 c. Optimistic: $33.5; pessimistic: $0 d. Optimistic: $56.2; pessimistic: 42) (Continuation) Assume that you are building a replicating portfolio in order to determine the value of a call option on Mc Graw Hill stock. Determine the maximum amount of money that you must borrow today if the 6month interest rate is 3.5 percent. a. $105.4 b. $106.4 c. $95.2 d. \$101.7 43) (Continuation) Determine the value of option delta. a. 0.53566 b. 0.57888 c. 0.55983 d. 0.54498 44) (Continuation) Determine the value of the call at the beginning of the investment period. a. $30.54 b. $27.96 c. $25.80 d. $31.72 45) (Continuation) Determine the payoffs 6 months from today, both in an optimistic and in a pessimistic scenario, if you decide to purchase today a put option on Dual Time stock. Assume that this is an option in European terms and that the exercise price is $150. a. Optimistic: $65.2; pessimistic: $42.7 b. Optimistic: $40.9; pessimistic: c. Optimistic: $33.5; pessimistic: $0 d. Optimistic: $56.2; pessimistic: $0
