Find the delta of the call and put options

Assignment Help Financial Management

Reference no: EM131586031

Suppose that Stock XYZ is currently trading at $20 and is expected to pay a dividend of $0.50 per share in 5 months and again in 10 months. Assume that annual continuously compounded interest rate is 6% and the volatility of the stock is 30% per year.

a. Find the price of a 1-year American call option written on this stock with a strike of $18 using BSM Model.

b. Find the price of a 1-year American put option written on this stock with a strike of $18 using BSM Model.

c. Find the delta of the call and put options.

Reference no: EM131586031

Questions Cloud

Differences among social media in the us and china : Describe the similarities and differences among social media in the US and China. How would you use social media to grow the fast food franchise business.

Design a greedy algorithm for coloring vertices of a graph : Your algorithm addresses the vertices in some order. Try it out on the graph in Figure. In fact, try your algorithm with each of the vertex orderings.

Issues involved in service marketing mix of people : What are the ethical issues involved in service marketing mix of people, process and physical evidence?

Calculate the terms of the sequence of numbers : Calculate the terms of the sequence of numbers: 0 1 2 5 12 29 ... where each term of the sequence is twice the previous term plus the second previous

Find the delta of the call and put options : Find the delta of the call and put options.

Describe safety issues involved in a crisis disorder : The goal for people experiencing a crisis is to return to the pre-crisis level of adaptation. Thoroughly describe safety issues involved in a crisis disorder

Select a motivational theory : From the following list, select a motivational theory that you would be most likely to apply as a manager.

Calculate the net present value for the proposed investment : Calculate the payback period for the proposed investment. Calculate the net present value (NPV) for the proposed investment.

How the policy influences some or all of the realms explored : As this is a cumulative examination, your analysis must include how the policy influences some or all of the realms explored this semester.

User Account

All Pages