Solution-Estimate the value of a european exercise call

Estimate the value of a european exercise call option

Assignment Help Finance Basics

Reference no: EM132952866

As an expert in pricing financial derivatives, your friend, John, approached you seeking a professional advice on the fair price of the European style call and put option on the FTSE 100 index. The following data relate to the FTSE 100 index.

Current price: 7125

Dividend Yield: 2.95%

Volatility: 13.25%

The risk-free rate of interest is 1%.

Required:

1) Estimate the value of a European exercise call option on the index with an exercise price of 7100 and 100 days to run.

2) Estimate the value of a European exercise put option on the index with the same exercise price and expiry date

Reference no: EM132952866

Questions Cloud

Explain why a company reported earnings : Explain why a company's reported earnings may not necessarily be an objective measure of economic reality. Give examples of when this might occur

Calculate the expected returns and standard deviations : Calculate the expected returns and standard deviations of a two-stock portfolio under each of the following conditions:

Prepare the journal entries for carla for the january : Carla Co. invested idle cash, Prepare the journal entries for Carla for the January 15, 2020-Carla settles the call option on the Counting Crows shares dates

What does the long-term debt item represent : What does the "Long-term debt" item represent? What does the "Accrued expenses and other current liabilities" item represent

Estimate the value of a european exercise call option : As an expert in pricing financial derivatives, your friend, John, approached you seeking a professional advice on the fair price of the European style call and

Compute the expected return of the stocks or portfolios : Consider a CAPM economy. You expect a risk free rate (rf ) of 4% and the market return (rM) of 10%. Compute the expected return of the following stocks or portf

Is the plan overfunded or underfunded : Calculate the funded status of the plan (see SFAS No. 158 for a definition of funded status). Is the plan overfunded or underfunded

Prepare the journal entry to record the impairment of debt : Assuming the fair value of the Laser shares is $1,370,000 and the value of its debt investment is $2,920,000, what entries, if any, should be recorded in 2022?

What steps can be taken to improve the stock positions : What steps can be taken to improve the stock positions of the travel industry and ensure safe travels. Please elaborate on this issue

User Account

All Pages

Estimate the value of a european exercise call option

Reference no: EM132952866

Reference no: EM132952866

Questions Cloud

Reviews

Write a Review

Finance Basics Questions & Answers

Financial reporting and analysis

A report on financial accounting

Describe the types of financial ratios

Differences between sole proprietorship and corporation

Prepare a cash budget statement

What are the implied interest rates

State pricing theory and no-arbitrage pricing theory

Small business administration

Effect of financial leverage

Evaluate the basis for the payment to the lender

Importance of opps, ipps, mpfs and dmepos

Time value of money

Assured A++ Grade

Academics

Major Subjects

Majors

Get In Touch

TERMS & POLICIES

HELP & SUPPORT