Option expires the day before second period dividend is paid

Assignment Help Portfolio Management

Reference no: EM131451425

A stock's price is $100. Over each of the next two three month periods it is expected to go up by 15% or down by 10%. The risk free rate is 4% p.a. The stock pays a dividend of $1 per quarter. Assume the option expires the day before the second period dividend is paid.

a. What should be the current price of a 6-month European style put option with a strike price of $95?

b. What should be the current price of a 6-month American style put option with a strike price of $95?

c. What should be the current price of a 6-month European style call option with a strike price of $95?

d. What should be the current price of a 6-month American style call option with a strike price of $95?

Reference no: EM131451425

Questions Cloud

Option expires the day after second period dividend is paid : The stock pays a dividend of $1 per quarter. Assume the option expires the day after the second period dividend is paid.

Describe the two specific systemic crises you have selected : Briefly describe the two specific systemic crises you have selected. Explain how the two crises are similar and how they are different.

Find the numbers : Three numbers, whose sum is 12, are in AP. If 1,2 and 6 are added to them, the resulting g numbers are in GP. Find the numbers

Determine discovered credible evidence : You work for a meatpacking company. You have discovered credible evidence that your company's delivery drivers have been stealing cuts of meat.

Option expires the day before second period dividend is paid : The stock pays a dividend of $1 per quarter. Assume the option expires the day before the second period dividend is paid.

How would a manager use economic theory : How would a manager use economic theory to maximize profit price for a service or product? What is process of target costing? How is target costing calculated?

What is the accounting basis for recognizing revenues : What is the accounting basis for recognizing revenues? How can the reader determine this basis? Does the government collect revenue from property taxes?

Determine the hrms role in performance management process : Determine the HRM's role in the performance management process and explain how to ensure the process aligns with the organization's strategic plan.

What should investors with bernard madoff have done here : In December 2008, one of the largest players in India's outsourcing and information technology sectors, Satyam Computer Services, fell from grace.

User Account

All Pages