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Shares of JCOM are trading at $65.90 per share. The standard deviation of the yearly return for JCOM's stock is 40.86 percent (0.4086). JCOM is not expected to pay a dividend during the next year. Call options on JCOM having a strike price of 67.50and 289 days to expiration have a hedge ratio (or delta) of .5504. The risk-adjusted probability that these call options finish in the money is .4064. The continuously compounded risk-free rate of interest is 0.50percent, so the present value of a risk-free $1 to be received at the option expiration in 289 days is $0.99599. Assuming the Black-Scholes option-pricing model correctly determines the prices of European put and call options,
a. Determine the price of a call option on JCOM having a strike price of $67.50 and 289 days to expiration,
b. Determine the price of a European put option on JCOM having a strike price of $67.50and 289 days to expiration,
c. Determine the risk-adjusted probability that a European put option on JCOM having a strike price of $67.50 and 289 days to expiration finishes in the money.
Finance is about Gunns Ltd, a company in dealing with forestry products in Australia. The company has also been listed in Australian Stock Exchange. As many companies producing forestry products, even Gunns Ltd is facing various problems. Due to the ..
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