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Options, puts and calls can you develop the excel spreadsheet for the following questions Question 1 An investor buys a European put on a share
Options, puts and calls can you develop the excel spreadsheet for the following questions
Question 1 An investor buys a European put on a share for $3. The stock price is currently $42 and the strike price is $40. When does the investor make a profit? Question 2 Suppose a European call option to buy a share for $120.00 costs $6.00. The stock currently trades for $118.00. If the option is held to maturity under what conditions does the holder of the option make a profit? Note: ignore time value of money. Question 3 The market price of ZYX stock has been volatile and you expect that volatility to continue for a few weeks based on recent news. Due to this belief you decide to purchase calls and puts to manage your exposure. You purchase a one-month call option with a strike price of $25 and an option price of $1.30. You also purchase a one-month put option with a strike price of $25 and an option price of $0.50. What will be your total profit or loss on these option positions if the stock price is $26.0 on the day the options expire? Question 4 Use two-state option pricing model to find the value of a call option and the intrinsic value given the following parameters: T-bills yield: 2.5 pct. Current stock price: $32.00 No possibility stock will be worth less this amount in one year: Exercise Price: $30.00 $27.00 Question 5 Given the following option quote information: Given the following option quote information: Calls Option and NY Close XYZ Expiration Strike Price Volume Puts Last Volume Last February 108 85 7.55 40 0.60 March 108 61 8.55 22 1.55 May 108 22 10 11 2.85 August 108 3 12.5 3 4.70 The current stock price is $114.00 and the stock price on the expiration date is $141.00. How much is your options investment worth? (ignore commissions) Question 6 Given the following parameters use put-call parity to determine the price of a put option with the same exercise price. Current stock price: $22.00 Call option exercise price: $25.00 Sales price of call options: $3.80 Months until expiration of call options: 6 Risk free rate: 2.2 percent Compounding: continuous Question 7 Given the following parameters use risk-neutral valuation to value a call option. Current stock price: $65.00 Stock will increase or decrease next year by: 15 pct. Call Option strike price: Time to expiration: Risk free rate: 8 pct. 1 year $60.00 Question 8 A bond has 4 years to maturity, a coupon of 6 percent paid annually and currently sells at par. What is the duration of the bond? Question 9 You have entered into a forward contract with the following parameters: Bond: 10 year, zero coupon bond Issuance: Will be issued in 1 year Face Value: $1000 1 year spot rate: 3 pct. 10 year spot rate: 6 pct. Question 10 Use Black Scholes to Value the put and call given the following criteria. The stock price six months from the expiration of an option is $13.50, the exercise price of the option is $13, the risk free interest rate is 10 percent per annum, and the volatility is 20% per annumStep by Step Solution
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