Logo
Home Study Material Contact Search
AI Chat FREE
  1. business
  2. accounting
  3. part a a put option and a call option with an.

Part A A put option and a call option with an...

80.2K

Verified Solution

Question

Accounting

Part A

A put option and a call option with an exercise price of $80 and three months to expiration sell for $1.45 and $4.40, respectively.

If the risk-free rate is 4.6 percent per year, compounded continuously, what is the current stock price?

Part B

A call option has an exercise price of $60 and matures in three months. The current stock price is $64, and the risk-free rate is 5 percent per year, compounded continuously. What is the price of the call if the standard deviation of the stock is 0 percent per year?

Part C

A put option and call option with an exercise price of $50 expire in four months and sell for $1.02 and $5.00, respectively.

If the stock is currently priced at $53.30, what is the annual continuously compounded rate of interest?

Answer & Explanation Solved by verified expert
Get Answers to Unlimited Questions

Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!

Membership Benefits:
  • Unlimited Question Access with detailed Answers
  • Zin AI - 3 Million Words
  • 10 Dall-E 3 Images
  • 20 Plot Generations
  • Conversation with Dialogue Memory
  • No Ads, Ever!
  • Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
Become a Member

Other questions asked by students