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Buffelhead's stock price is $168 and could halve or double in each six-month period. A one-year call option on Buffelhead has an exercise price of
Buffelhead's stock price is $168 and could halve or double in each six-month period. A one-year call option on Buffelhead has an exercise price of $139. The interest rate is 21% a year. a. What is the value of the Buffelhead call? (Round your answer to 2 decimal places.) b-1. Now calculate the option delta for the second six months if the stock $336. b-2. Now calculate the option delta for the second six months if the stock price falls to $84. (Round your answer 2 decimal places.) c-1. What is the option delta when a call is certain to be exercised? c-2. What is the option delta when a call is certain not to be exercised? d. Suppose that in month 6 , the Buffelhead stock price is $84. To replicate an investment in the stock by a combing can purchase partial calls. (Do not round intermediate calculations. Round your answers to 2 decimal places.) Buffelhead's stock price is $168 and could halve or double in each six-month period. A one-year call option on Buffelhead has an exercise price of $139. The interest rate is 21% a year. a. What is the value of the Buffelhead call? (Round your answer to 2 decimal places.) b-1. Now calculate the option delta for the second six months if the stock $336. b-2. Now calculate the option delta for the second six months if the stock price falls to $84. (Round your answer 2 decimal places.) c-1. What is the option delta when a call is certain to be exercised? c-2. What is the option delta when a call is certain not to be exercised? d. Suppose that in month 6 , the Buffelhead stock price is $84. To replicate an investment in the stock by a combing can purchase partial calls. (Do not round intermediate calculations. Round your answers to 2 decimal places.)
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