Answered step by step
Verified Expert Solution
Question
1 Approved Answer
The stock of Lead Zeppelin, a metal manufacturer, currently sells for $92 and has an annual standard deviation of 47 percent. The risk-free rate is
The stock of Lead Zeppelin, a metal manufacturer, currently sells for $92 and has an annual standard deviation of 47 percent. The risk-free rate is 6.6 percent. What is the value of a put option with a strike price of $96 and 57 days to expiration? (Round your answer to 2 decimal places. Omit the "$" sign in your response.) |
Put option | $ |
Here is an explanation of a similar problem:
The stock of Lead Zeppelin, a metal manufacturer, currently sells for $89 and has an annual standard deviation of 44 percent. The risk-free rate is 6.3 percent. What is the value of a put option with a strike price of $93 and 51 days to expiration? (Round your answer to 2 decimal places. Omit the "$" sign in your response.) Put option $ 7.66 + 1% Explanation di In(89/93) + (0.063+0.442/2) 51/365 -0.1315 0.44 x V 51/365 d2 = -0.1315 0.44/51/365 = -0.296 The standard normal probabilities are: N(C) = 0.4477 N(-01) = 0.5523 Nid2) = 0.3836 N(-d2) = 0.6164 Calculating the price of the put option yields: P = ($93 -0.063 * 51/365 x 0.6164) ($89 x 0.5523) = $7.66Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started