Question
You are an accountant at an insurance company performing month-end valuation of investments. You are asked to value the following three OTC stock options on
You are an accountant at an insurance company performing month-end valuation of investments.
You are asked to value the following three OTC stock options on 31 December 2015.
| B) | Put option purchased on Alphabet Inc. common stock | ||||||||
| Notional value: 1,000,000 | |||||||||
| Strike price: $760 | |||||||||
| Expiry: 6 months | |||||||||
| Volatility: 27% p.a. | |||||||||
| Risk-free rate: 0.80% p.a. | |||||||||
| Current market price: $775 | |||||||||
| Dividend yield: 0% p.a. | |||||||||
Calculate the value of the following assets:
$1million 6-month put purchased on Alphabet Inc stock
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Handbook Of The Economics Of Finance Corporate Finance Volume 1A
Authors: George M. Constantinides, M. Harris, Rene M. Stulz
1st Edition
0444513620, 978-0444513625
