According to the black-scholes opm

Assignment Help Financial Management

Reference no: EM132028705

The current stock price of Alcoa is $115, and the stock does not pay dividends. The instantaneous risk-free rate of return is 6%. The instantaneous standard deviation of Alcoa's stock is 35%. You want to purchase a put option on this stock with an exercise price of $120 and an expiration date 30 days from now. According to the Black-Scholes OPM, you should hold __________ shares of stock per 100 put options to hedge your risk.

Reference no: EM132028705

Questions Cloud

Last dollar raised to complete the expansion : What is the WACC for the last dollar raised to complete the expansion?

Calculating Project OCF : The project estimated to generate $2,190,000 in annual sales, with costs of $815,000. If the tax rate is 35 percent, what is the OCF for this project?

Impact from rapid dividend growth on stock current price : The impact from rapid dividend growth on a stock's current price will be:

Wacc for the last dollar raised to complete the expansion : What is the WACC for the last dollar raised to complete the expansion?

According to the black-scholes opm : According to the Black-Scholes OPM, you should hold __________ shares of stock per 100 put options to hedge your risk.

What should be the value of the put : if the effective annual risk-free rate of interest is 4% and there are four months until expiration, what should be the value of the put?

What is the expected return of this stock : The probability of a recession and a boom is 20% and 80% respectively. What is the expected return of this stock?

What is the company cost of preferred stock-rp : The stock would pay a constant annual dividend of $7.00 a share. What is the company's cost of preferred stock, rp?

What is holmes after-tax cost of debt : If its marginal tax rate is 40%, what is Holmes's after-tax cost of debt?

User Account

All Pages