Answered step by step
Verified Expert Solution
Question
1 Approved Answer
Using the data in Table, compare the price on July 24, 2009, of the following options on JetBlue stock to the price predicted by the
Using the data in Table, compare the price on July 24, 2009, of the following options on JetBlue stock to the price predicted by the Black-Scholes formula. Assume that the standard deviation of JetBlue stock is 64 % per year and that the short-term risk-free rate of interest is 1.1 % per year. a. December 2009 call option with a $ 5.00 strike price. b. December 2009 put option with a $ 6.00 strike price. c. March 2010 put option with a $ 7.00 strike price
JBLU Jul 24 2009 @ 17:17 ET Bid 5.03 Ask 5.04 Size 168 x 96 5.03 +0.11 Vol 7335887 Open Vol Calls Bid Ask Vol Open Int Puts Bid Ask Int 47 2 09 Dec 5.00 (JGO LA) 09 Dec 6.00 (JGQ LF) 10 Jan 5.00 (JGO AA) 10 Jan 6.00 (JGQ AF) 10 Jan 9.00 (JGQ AI 10 Mar 5.00 (JGQ CA 10 Mar 6.00 (JGO CF) 10 Mar 700 (JGO CG) 0.80 0.45 0.85 0.50 0.05 1.05 0.65 0.40 0.90 0.55 1.00 0.60 0.15 1.15 0.75 0.50 125 28 0 0 0 5 5865 259 6433 0 8 18 50 146 3 09 Dec 5.00 (JGO XA) 09 Dec 6.00 (JGO XF) 10 Jan 5.00 (JGQ MA 10 Jan 6.00 (JGQ MF) 10 Jan 9.00 (JGO MI) 10 Mar 5.00 (JGQ OA) 10 Mar 6.00 (JGO OF) 10 Mar 700 (JGQ OG 0.80 1.40 0.85 1.45 4.00 1.00 1.60 2.30 0.90 6 1000 1.500 84 0.95 10 14737 1.55 0 22 4.100 1.100 1.70 10 41 2.45 100 40 JBLU Jul 24 2009 @ 17:17 ET Bid 5.03 Ask 5.04 Size 168 x 96 5.03 +0.11 Vol 7335887 Open Vol Calls Bid Ask Vol Open Int Puts Bid Ask Int 47 2 09 Dec 5.00 (JGO LA) 09 Dec 6.00 (JGQ LF) 10 Jan 5.00 (JGO AA) 10 Jan 6.00 (JGQ AF) 10 Jan 9.00 (JGQ AI 10 Mar 5.00 (JGQ CA 10 Mar 6.00 (JGO CF) 10 Mar 700 (JGO CG) 0.80 0.45 0.85 0.50 0.05 1.05 0.65 0.40 0.90 0.55 1.00 0.60 0.15 1.15 0.75 0.50 125 28 0 0 0 5 5865 259 6433 0 8 18 50 146 3 09 Dec 5.00 (JGO XA) 09 Dec 6.00 (JGO XF) 10 Jan 5.00 (JGQ MA 10 Jan 6.00 (JGQ MF) 10 Jan 9.00 (JGO MI) 10 Mar 5.00 (JGQ OA) 10 Mar 6.00 (JGO OF) 10 Mar 700 (JGQ OG 0.80 1.40 0.85 1.45 4.00 1.00 1.60 2.30 0.90 6 1000 1.500 84 0.95 10 14737 1.55 0 22 4.100 1.100 1.70 10 41 2.45 100 40Step 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