What is the value of the put option

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Reference no: EM131991806

1. A European put option on ENRON stock has a strike price $55.0 and matures in 9.0 months. The continuously compounded risk-free rate is 7.0 percent per year. If the price of ENRON stock goes to zero, what is the value of the put option?

a. 50.305

b. 55

c. 57.965

d. 52.187

2. An American put option on ENRON stock has a strike price $52.5 and matures in 9.0 months. The continuously compounded risk-free rate is 5.25 percent per year. If the price of ENRON stock goes to zero, what is the value of the put option?

a. 52.5

b. 54.608

c. 50.473

d. 49.065

3. Consider a European put option with a strike price of $143.0 and maturity of 6.0 months. The underlying stock price equals 123. The continuously compounded risk-free rate is 7.0 percent per year. What is the lower and upper bound, respectively, on the option value?

a. 20.0, 143.0

b. 15.082, 143.0

c. 20.0, 138.08

d. 15.082, 138.08

4. Suppose that a American put option with a strike price of $97.5 and maturity of 7.0 months costs $12.3. The underlying stock price equals 85. The continuously compounded risk-free rate is 6.5 percent per year. What is the potential arbitrage profit from buying a put option on one share of stock?

a. 3.4277

b. 0.2

c. 6.4295

d. 3.9679

5. Consider a European call option with a strike price of $128.0 and maturity of 9.0 months. The underlying stock price equals 133. The continuously compounded risk-free rate is 9.25 percent per year. What is the lower bound on the option value?

a. 12.875

b. 4.0

c. 13.579

d. 5.0

6. A European call option with a strike price of $99.0 and maturity of 6.0 months costs $25.216.The underlying stock price is $119.0. The continuously compounded risk-free rate is 9.0 percent per year. What is the value of a European put option with strike price of $99.0 and maturity of 6.0 months?

a. 1.2723

b. 0.8598

c. 4.9195

d. 5.2164

Reference no: EM131991806

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