There is a European put option on a stock that expires in two months. The stock price is $93 and the standard deviation of the stock returns is 68 percent. The option has a strike price of $101 and the risk-free interest rate is an annual percentage rate of 7 percent. What is the price of the put option today? Use a two-state model with one-month steps. (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.)
There is a European put option on a stock that expires in two months. The stock price is $93 and the standard deviation of the stock returns is 68 percent. The option has a strike price of $101 and the risk-free interest rate is an annual percentage rate of 7 percent. What is the price of the put option today? Use a two-state model with one-month steps. (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.)
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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There is a European put option on a stock that expires in two months. The stock price is $93 and the standard deviation of the stock returns is 68 percent. The option has a strike price of $101 and the risk-free interest rate is an annual percentage rate of 7 percent. What is the price of the put option today? Use a two-state model with one-month steps. (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.)
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