题目内容
A non-dividend-paying stock is currently trading at USD 40.00 and has an expected return of 12% per year. Using the Black-Scholes-Merton (BSM) model, a 1-year, European-style call option on the stock is valued at USD 1.78. The parameters used in the model are: $N(d_1 )$ = 0.29123, $N(d_2 )$ = 0.20333. The next day, the company announces that it will pay a dividend of USD 0.50 per share to holders of the stock on an ex-dividend date 1 month from now and has no further dividend payout plans for at least 1 year. This new information does not affect the current stock price, but the BSM model inputs change, so that: $N(d_1 )$ = 0.29928, $N(d_2 )$ = 0.20333. If the risk-free rate is 3% per year, what is the new BSM call price?
查看答案
搜索结果不匹配？点我反馈
更多问题
Suppose that we have some Bank of China shares that are currently trading on the Hong Kong Stock Exchange at HKD4.41. Our view is that the Bank of China’s stock price will be steady for the next three months, so we decide to sell some three- month out- of- the- money calls with exercise price at 4.60 in order to enhance our returns by receiving the option premium. Risk- free government securities are paying 1.60% and the stock is yielding HKD 0.24%. The stock volatility is 28%. We use the BSM model to value the calls. Which statement is correct? The BSM model inputs (underlying, exercise, expiration, risk- free rate,dividend yield, and volatility)are:
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?
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.
微信支付 
支付宝支付