1. A stock is trading at $262.84, given the following conditions: Strike price is $230.00 ...
Question:
1. A stock is trading at $262.84, given the following conditions:
• Strike price is $230.00
• Continuously compound rate of return is 3.7278%pa
• Time to expiry of the option is 2 years
• Number of steps is 2
• Volatility of the stock is 24.15%
• Dividend in 12 months is expected to be $12.78
• Dividend in 2 years is expected to be $12.98
Determine for an American call option:
(a) Option price
(b) Delta of the option
2. A stock is trading at $288.33, given the following conditions:
• Strike price is $300.00
• Continuously compound rate of return is 4.2278%pa
• Time to expiry of the option is 1 year
• Number of steps is 2
• Volatility of the stock is 26.85%
• Dividend in 6 months is expected to be $22.78
• Dividend in 12 months is expected to be $25.88
Determine for an American put option:
(a) Option price
(b) Delta of the option
Data Analysis and Decision Making
ISBN: 978-0538476126
4th edition
Authors: Christian Albright, Wayne Winston, Christopher Zappe