A European call option written on one share of Ponce de Leon Foods, Inc. has the...

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Finance

A European call option written on one share of Ponce de LeonFoods, Inc. has the following parameter values: S = $118, X = $108,r = 5% p.a., sigma = 21% p.a., T = 7 months. Find the value of d1,rounded to 4 decimals (e.g., 0.0712).
QUESTION 2 A European call option written on one share of Crook& Crook, Inc. has the following parameter values: S = $34, X =$36, r = 5% p.a., sigma = 20% p.a., T = 7 months. Find the value ofd2, rounded to 4 decimals (e.g., 0.0712).
QUESTION 3 A European call option written on one share ofMedident Corp. has the following parameter values: S = $220, X =$200, r = 5% p.a., sigma = 30% p.a., T = 9 months. Find the calloption's premium, rounded to 2 decimals (e.g., 3.24).
QUESTION 4 Consider three at-the-money (ATM) European calloptions (i.e., S = X for each of them) written on the sameunderlying asset, with the following common parameter values: r =0% p.a. and sigma = 100% p.a. However, one of the options maturesin T = 12 months, another in T = 24 months, and the last onematures in 36 months. Based on the premiums of these three calloptions, what do you conclude regarding the relationship betweenthe call premium and time to maturity? The relationship between thecall option's premium and its time to maturity is U-shaped. Thereis no relationship between the call option's premium and its timeto maturity. The call option premium increases as time to maturityincreases. The call option premium remains the same as time tomaturity increases. The call option premium decreases as time tomaturity increases. 3 points
QUESTION 5 Consider three at-the-money (ATM) European PUToptions (i.e., S = X for each of them) written on the sameunderlying asset, with the following common parameter values: r =0% p.a. and sigma = 100% p.a. However, one of the options maturesin T = 12 months, another in T = 24 months, and the last onematures in 36 months. Based on the premiums of these three putoptions, what do you conclude regarding the relationship betweenthe put premium and time to maturity? The put option premiumremains the same as time to maturity increases. The put optionpremium increases as time to maturity increases. The put optionpremium decreases as time to maturity increases. There is norelationship between the put option's premium and its time tomaturity. The relationship between the put option's premium and itstime to maturity is U-shaped. 3 points Q
QUESTION 6 You buy a 1-year put option and sell thecorresponding call option. Both options are written on 1 share ofIBM stock and both have an exercise price of $119. In addition, youalso buy 1 share of IBM stock. What is the net payoff you receivefrom this 3-asset portfolio if at expiration the price of eachshare of IBM stock is $18? 5 points
QUESTION 7 Consider two "corresponding" options, consisting of acall and a put with the exact same parameter values. For this pair,the call premium is $7.1. If the current price of the underlyingasset is $79 and the present value of the exercise price is $79,what is the premium of the put option, P? Write the answer with onedecimal; e.g., 3.2. Do NOT use the $ symbol in your answer; justwrite a numerical value.

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Ans1 Current stock price S 11800 Strike price K 10800 Time until expirationin years t 0583 volatility s 210 riskfree rate r 500 d1 lnSK r s22tst05 ln118108 5 2122058321058305 00886 0042001604 08142 Ans2 Current stock price S 3400 Strike price K 3600 Time until See Answer

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A European call option written on one share of Ponce de LeonFoods, Inc. has the following parameter values: S = $118, X = $108,r = 5% p.a., sigma = 21% p.a., T = 7 months. Find the value of d1,rounded to 4 decimals (e.g., 0.0712).QUESTION 2 A European call option written on one share of Crook& Crook, Inc. has the following parameter values: S = $34, X =$36, r = 5% p.a., sigma = 20% p.a., T = 7 months. Find the value ofd2, rounded to 4 decimals (e.g., 0.0712).QUESTION 3 A European call option written on one share ofMedident Corp. has the following parameter values: S = $220, X =$200, r = 5% p.a., sigma = 30% p.a., T = 9 months. Find the calloption's premium, rounded to 2 decimals (e.g., 3.24).QUESTION 4 Consider three at-the-money (ATM) European calloptions (i.e., S = X for each of them) written on the sameunderlying asset, with the following common parameter values: r =0% p.a. and sigma = 100% p.a. However, one of the options maturesin T = 12 months, another in T = 24 months, and the last onematures in 36 months. Based on the premiums of these three calloptions, what do you conclude regarding the relationship betweenthe call premium and time to maturity? The relationship between thecall option's premium and its time to maturity is U-shaped. Thereis no relationship between the call option's premium and its timeto maturity. The call option premium increases as time to maturityincreases. The call option premium remains the same as time tomaturity increases. The call option premium decreases as time tomaturity increases. 3 pointsQUESTION 5 Consider three at-the-money (ATM) European PUToptions (i.e., S = X for each of them) written on the sameunderlying asset, with the following common parameter values: r =0% p.a. and sigma = 100% p.a. However, one of the options maturesin T = 12 months, another in T = 24 months, and the last onematures in 36 months. Based on the premiums of these three putoptions, what do you conclude regarding the relationship betweenthe put premium and time to maturity? The put option premiumremains the same as time to maturity increases. The put optionpremium increases as time to maturity increases. The put optionpremium decreases as time to maturity increases. There is norelationship between the put option's premium and its time tomaturity. The relationship between the put option's premium and itstime to maturity is U-shaped. 3 points QQUESTION 6 You buy a 1-year put option and sell thecorresponding call option. Both options are written on 1 share ofIBM stock and both have an exercise price of $119. In addition, youalso buy 1 share of IBM stock. What is the net payoff you receivefrom this 3-asset portfolio if at expiration the price of eachshare of IBM stock is $18? 5 pointsQUESTION 7 Consider two "corresponding" options, consisting of acall and a put with the exact same parameter values. For this pair,the call premium is $7.1. If the current price of the underlyingasset is $79 and the present value of the exercise price is $79,what is the premium of the put option, P? Write the answer with onedecimal; e.g., 3.2. Do NOT use the $ symbol in your answer; justwrite a numerical value.