Consider the following economic inputs: S = 100; K=100; T = 2 Year $2 Dividend paid...

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Consider the following economic inputs: S = 100; K=100; T = 2 Year $2 Dividend paid in 6 months if S>100 $2.50 Dividend paid in 18 months if S>100 Rf = 3%; o = 20%; Semi-annual time steps (4 Time Steps) Calculate the following: • European and American Value of a Put option? • Options sensitivity to a 10% change in the stock, S = 110? • Options sensitivity to a 10% change in the risk-free rate R₁ = 3.30%? Consider the following economic inputs: S = 100; K=100; T = 2 Year $2 Dividend paid in 6 months if S>100 $2.50 Dividend paid in 18 months if S>100 Rf = 3%; o = 20%; Semi-annual time steps (4 Time Steps) Calculate the following: • European and American Value of a Put option? • Options sensitivity to a 10% change in the stock, S = 110? • Options sensitivity to a 10% change in the risk-free rate R₁ = 3.30%?

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SOLUTION Given inputs S 100 K 100 rf 3 003 sigma 20 02 T 2 years Dividend at 05 years 2 if S 100 Dividend at 15 years 250 if S 100 First lets calculat... View the full answer