The price of a non-dividend paying, small technology firm's stock is 94. A 145-day European put...

 

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The price of a non-dividend paying, small technology firm's stock is €94. A 145-day European put with an exercise price of €80 is selling for €5.25. The current risk-free rate is 5.5%. a) What is the implied volatility of the company's stock? Use a 365-day year. b) Use Monte Carlo simulation to price the put. c) Price the put when the company pays dividends at a rate of 2% per year. The price of a non-dividend paying, small technology firm's stock is €94. A 145-day European put with an exercise price of €80 is selling for €5.25. The current risk-free rate is 5.5%. a) What is the implied volatility of the company's stock? Use a 365-day year. b) Use Monte Carlo simulation to price the put. c) Price the put when the company pays dividends at a rate of 2% per year.

Answer rating: 100% (QA)

a To calculate the implied volatility of the companys stock we can use the BlackScholes formula and solve for the volatility The BlackScholes formula ... View the full answer