Answered step by step

Verified Expert Solution

Link Copied!

Question

1 Approved Answer

Posted on Oct 04, 2024

You have a stock with a price of 150 annualized volatility 30% and annualized risk free is 3%. Assuming the option expires in half a

You have a stock with a price of 150 annualized volatility 30% and annualized risk free is 3%.

Assuming the option expires in half a year and has a strike of 130 what is its price using BS formula?

What is the hedge ratio?

Use the call put parity to find the put price

Step 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

Recommended Textbook for

Corporate Finance Principles And Practice

Authors: Denzil Watson, Antony Head

5th Edition

0273725343, 978-0273725343

More Books

Students also viewed these Finance questions

Question

★★★★★

The equity section of Webster Corporations balance sheet shows the following. Preferred stock5% cumulative, $10 par value, $15 call price, 10,000 shares issued and outstanding . . . . . . . . . . . ....

Answered: 1 week ago

Question

★★★★★

The summarised balance sheet of Smith-Patel Ltd at 31 March 20*8 is given. On 1 April 20*8 Smith-Patel Ltd issued a further 200,000 1 ordinary shares at 1.50. On the same date the company revalued...

Answered: 1 week ago

Question

★★★★★

Does the workplace reflect the kind of nursing environment in which you want to practice? If not, what is constraining leaders and other workers within the organization from adopting a safe and...

Answered: 1 week ago

Question

★★★★★

MINICASE: WEST MIDLANDS RESTAURANT APPLIANCES West Midlands Restaurant Appliances (WMRA), headquartered in Birmingham, UK, sells large, industrial appliances such as refrigerators, freezers, and...

Answered: 1 week ago

Question

★★★★★

You have a stock with a price of 150 annualized volatility 30% and annualized risk free is 3%. Assuming the option expires in half a year and has a strike of 130 what is its price using BS formula?...

Answered: 1 week ago

Question

★★★★★

Investing activities on the statement of cash flows include buying equipment that is held for long - term use. True False

Answered: 1 week ago

Question

★★★★★

Prologue Bangladesh's apparel businesses are dealing with significant difficulties in both production and sourcing because of the lack of vessels, increased freight costs, and supply chain disruption...

Answered: 1 week ago

Question

★★★★★

Question 19 (3 points) Examine this "live" display of a Siemens S7-300 PLC's program, and from this determine all bit statuses represented by the color highlighting in this ladder logic program: I1.1...

Answered: 1 week ago

Question

★★★★★

Question 17 2 Points Both Fatima and Abdulla are middle-level managers at Dana Pastries. Fatima works for 50 hours a week and receives BD500 and Abdulla receives BD500 for 50 working hours a week....

Answered: 1 week ago

Question

★★★★★

Prepare cost reports for the fourth quarter of 2016 for both production departments. Using the First-In-First-Out (FIFO) method, provide the following figures, with supporting calculations, for each...

Answered: 1 week ago

Question

★★★★★

How do you format a production cost report using the weighted-average method and using the FIFO method (the beginning direct materials costs as of June 1 listed in work-in-process should be $315,700...

Answered: 1 week ago

Previous Question Next Question