Calculate vale of index call option with exercise price

Assignment Help Financial Management

Reference no: EM131585282

Suppose the current value of a popular stock index is 653.50 and the dividend yield on the index is 2.8%. Also, the yield curve is flat at a continuously compounded rate of 5.5%.

(a) if you estimate the volatility factor for the index to be 16%, calculate the vale of an index call option with an exercise price of 670 and an expiration date in exactly three months.

(b) if the actual market price of this option is $17.40, calculate the implied volatility factor (show working)

Reference no: EM131585282

Questions Cloud

Write summation notation : Write F1 + F3 + F5 + ··· + F2n-1 in summation notation. Then show that F1 +F3 +F5 +···+F2n-1 = F2n.

Determine the effective duration of the pension liability : Determine the effective duration of the pension liability whose present values at 5.5%, 6.00%, and 6.5% YTM are $ 740.13 million,

What are your communitys current capabilities : Who will grant authority to the various agencies and departments responsible for providing emergency facilities and mitigation of an all-hazards.

Type of helmet used for off-road vehicles : Sean has designed a new type of helmet used for off-road vehicles. Discuss the advantages and disadvantages of protecting this item under the patent law.

Calculate vale of index call option with exercise price : calculate the vale of an index call option with an exercise price of 670 and an expiration date in exactly three months.

Write a report to evaluate the proposed information system : Write a report to evaluate the proposed information system and provide your recommendations. Identify and document record and systems requirements

Recommend two ways to foster motivation opportunities : Recommend at least two ways to foster motivation and authentic learning opportunities for students taking online courses in your current workplace or planned wo

Perpetuity payments start one year from date of retirement : Assume that the perpetuity payments start one year from the date of your retirement.

Discuss about the age discrimination in employment act : How the act was violated, the role of the EEOC in and what the organization can do to ensure compliance with the act.

User Account

All Pages