Solution-Value at grant of an option

Value at grant of an option

Assignment Help Engineering Mathematics

Reference no: EM131206275

Patriot Corp. compensates executives with 10-year European call options which is granted at-the-money. If there is a signi?cant drop in the share price, the company's board will reset the strike price of the options to equal the new share price. Then, the maturity of the repriced option will equal the remaining maturity of the original option. Suppose σ = 30%, r = 6%, δ = 0, and the original share price is $100. Calculate the following:

a. The value at grant of an option that will not be repriced

b. The value at grant of an option that is repriced when the share price reaches $60

c. The repricing trigger that maximizes the initial value of the option

Reference no: EM131206275

Questions Cloud

What do epidemiology studies of that disease show : What do epidemiology studies of that disease show? Provide one example. What effect does this disease have on the body's homeostasis? Provide one supporting fact.

Compute the correct balances : The current exchange rate is £1.00 = $2.00. Compute the correct balances in Bank A's correspondent account(s) with bank B if a currency trader employed at Bank A buys £45,000 from a currency trader at bank B for $90,000 using its correspondent rel..

Determine the mathematical expressions for the current il : Determine the mathematical expressions for the current iL and the voltage vL when the switch is closed.- Repeat part (a) if the switch is opened after a period of five time constants has passed.

Which nervous system would engage and why is this : Which nervous system would engage? Why is this? Which nervous system would engage (parasympathetic or sympathetic)? Why is this? Describe the neurotransmitter family that is activated in this situation.

Value at grant of an option : Then, the maturity of the repriced option will equal the remaining maturity of the original option. Suppose σ = 30%, r = 6%, δ = 0, and the original share price is $100. Calculate the following:

How much inventory does jake have on average : Jake keeps only 5.5 days-of-supply of inventory on average because much of his inventory is live bait and micro-brew beer, both of which have a short shelf life. What is his annual inventory turns? (Round your answer to two decimal places)

Write mathematical expressions for the current il : Write mathematical expressions for the current iL and the voltage vL following the closing of the switch.- Sketch the waveform of iL and vL for the entire period from initial value to steady-state level.

Determining the price of the warrant : Assume your ?rm has 20 shares of equity, a 10-year zero-coupon debt with a maturity value of $200 and warrants for 8 shares with a strike price of $25. Calculate the value of the debt, the share price, and the price of the warrant.

Metropolitan police patrol : The Metropolitan Police Department was recently criticized in the local media for not responding to police calls in the downtown area rapidly enough. In several recent cases, alarms had sounded for break-ins, but by the time the police car arrived..

User Account

All Pages

Value at grant of an option

Reference no: EM131206275

Reference no: EM131206275

Questions Cloud

Reviews

Write a Review

Engineering Mathematics Questions & Answers

Prime number theorem

Proof of bolzano-weierstrass to prove the intermediate value

Antisymmetric relations

Distributed random variables

Prepare a system of equations

Managing ashland multicomm services

Skew-symmetric matrices

Type of taxes and rates in spokane wa

Stratified random sample

Find the probability density function

Develop a new linear programming for an aggregate production

Discrete-time model for an economy

Assured A++ Grade

Academics

Major Subjects

Majors

Get In Touch

TERMS & POLICIES

HELP & SUPPORT