题目内容
An analyst wants to price a 1-year, European-style call option on company CZC’s stock using the Black-Scholes-Merton (BSM) model. CZC announces that it will pay a dividend of USD 0.50 per share on an ex-dividend date 1 month from now and has no further dividend payout plans for at least 1 year. The relevant information for the BSM model inputs are in the following table.Current stock price: USD 40Stock price volatility: 16% per yearRisk-free rate: 3% per yearCall option exercise price: USD 40$N(d_1)$: 0.5750$N(d_2)$: 0.5116What is the price of the 1-year call option on the stock?
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An analyst wants to price a 1-year, European-style call option on company REX’s stock using the Black-Scholes-Merton (BSM) model. REX announces that it will pay a dividend of USD 1.25 per share on an ex-dividend date 1 month from now and has no further dividend payout plans. The relevant information for the BSM model inputs are in the following table.Current stock price (S0 ): USD 60Stock price volatility (σ ): 12% per yearRisk-free rate (r): 3.5% per yearCall option exercise price (K): USD 60$N(d_1)$: 0.570143$N(d_2)$ 0.522623What is the price of the 1-year call option on the stock?
A foreign currency is valued at ＄200.71. The foreign currency has a European call option market price of ＄13.55 and a strike price of ＄225. In the US, the risk-free interest rate is 4% per annum and 7% per annum in the foreign country. Determine the price of a European put option with a 1-year maturity for the foreign currency.
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An investor writes a put option on FTSE 100 Index futures. Which of the following best describes the investor’s position with respect to the put contract and her exposure to the underlying index future, respectively?
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