1. The share price of Lisbon plc is currently $2.50. A call option is available with...
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1. The share price of Lisbon plc is currently $2.50. A call option is available with an exercise price of $2.00, exercisable immediately. What will be the value of the option? 2. Current share price is $2.90. Exercise price $2.60 in 6 months' time. Risk free rate of interest is 6% p.a. Standard deviation of rate of return on share is 40%. a) What is the value of a call option? b) What is the value of a put option? 3. Current share price is $35.00 Exercise price $35.00 in 1 years' time. Risk free rate of interest is 10% p.a. Standard deviation of rate of return on share is 20% a) What is the value of a call option? b) What is the value of a put option? 4. Current share price is $1.50 Call option exercise price is $1.80 in 3 months Risk free interest rate is 10% p.a. Standard deviation of rate of return on share is 40% Mary owns 1,000 shares. Devise a delta hedge to protect against changes in the share price. 5. Current share price is RM3.00 Call option exercise price is RM4.20 in 6 months Risk free interest rate is 8% p.a. Standard deviation of rate of return on share is 40% Anne owns 5,000 shares. Devise a delta hedge to protect against changes in the share price. 1. The share price of Lisbon plc is currently $2.50. A call option is available with an exercise price of $2.00, exercisable immediately. What will be the value of the option? 2. Current share price is $2.90. Exercise price $2.60 in 6 months' time. Risk free rate of interest is 6% p.a. Standard deviation of rate of return on share is 40%. a) What is the value of a call option? b) What is the value of a put option? 3. Current share price is $35.00 Exercise price $35.00 in 1 years' time. Risk free rate of interest is 10% p.a. Standard deviation of rate of return on share is 20% a) What is the value of a call option? b) What is the value of a put option? 4. Current share price is $1.50 Call option exercise price is $1.80 in 3 months Risk free interest rate is 10% p.a. Standard deviation of rate of return on share is 40% Mary owns 1,000 shares. Devise a delta hedge to protect against changes in the share price. 5. Current share price is RM3.00 Call option exercise price is RM4.20 in 6 months Risk free interest rate is 8% p.a. Standard deviation of rate of return on share is 40% Anne owns 5,000 shares. Devise a delta hedge to protect against changes in the share price.
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Related Book For
Fundamentals of Investments Valuation and Management
ISBN: 978-0077283292
5th edition
Authors: Bradford D. Jordan, Thomas W. Miller
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