Reference no: EM13264741
All three problems look very similar. Show all steps and answers:
(1) You have a 91 day ( =0.25 year ) $25 put option on Bad Wolf Enterprises. You find that Bad Wolf is currently trading at $30.00, pays no dividends and, over the past three years, has exhibited a daily annualized price volatility of 50%. Interest rates are currently at 5%. You calculate d1 = 0.9043, N[d1 ]= 0.8159, d2 = 0.6543, N[d2] = 0.7422. How do you find the fair value of this option?
(2) You have a 91 day ( = 0.25 year ) $120 put option on Discovery Café. You find that Discovery Café is currently trading at $90.00, pays no dividends and, over the past three years, has exhibited a daily annualized price volatility of 40%. Interest rates are currently at 5%. You calculate d1 = -1.2759, N[d1 ]= 0.1003, d2 = -1.4759, N[d2] = 0.0694. How do you find the fair value of this option?
(3)You have a 91 day ( = 0.25 year ) $120 put option on Discovery Café. You find that Discovery Café is currently trading at $90.00, pays no dividends and, over the past three years, has exhibited a daily annualized price volatility of 40%. Interest rates are currently at 5%. You calculate d1 = -1.2759, N[d1 ]= 0.1003, d2 = -1.4759, N[d2] = 0.0694. How do you find the fair value of this option?
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How do you find the fair value of this option
: Interest rates are currently at 5%. You calculate d1 = 0.9043, N[d1 ]= 0.8159, d2 = 0.6543, N[d2] = 0.7422. How do you find the fair value of this option?
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