Valuing Options

Đó là, các giá trị đặt nếu thực hiện ngay lập tức bằng các giá trị củađặt nếu nó được tổ chức cho giai đoạn tiếp theo. Giải X, chúng ta thấy rằng hòa vốntập thể dục giá là $ 61,52.
Nội dung trích xuất từ tài liệu:
Valuing Options CHAPTER 21 Valuing OptionsAnswers to Practice Questions u = e 0.24 0.5 = 1.185 ; d = 1 / u = 0.8441. a. $63.19 $53.33 $45.01 $45 $45.01 $37.98 $32.06 u = e 0.24 0.25 = 1.127 ; d = 1 / u = 0.887 $72.60 $64.41 $57.14 $57.16 $57.14 $50.70 $50.72 $44.97 $44.98 $45 $44.97 $39.92 $39.91 $35.40 $35.41 $35.40 $31.41 $27.86 188 u = e 0.3 0.5 = 1.236 , d = 1 / u = 0.809b. $68.75 $55.62 $45.00 $45 $45.00 $36.41 $29.46 u = e 0.3 0.25 = 1.162 ; d = 1 / u = 0.861 $82.04 $70.60 $60.79 $60.76 $60.79 $52.32 $52.29 $45.05 $45.02 $45 $45.05 $38.75 $38.77 $33.38 $33.36 $33.38 $28.72 $24.73 1892. a. Let p equal the probability of a rise in the stock price. Then, if investors are risk- neutral: (p × 0.15) + (1 - p)× (-0.13) = 0.10 p = 0.821 The possible stock prices next period are: $60 × 1.15 = $69.00 $60 × 0.87 = $52.20 Let X equal the break-even exercise price. Then the following must be true: X – 60 = (p)($0) + [(1 – p)(X – 52.20)]/1.10 That is, the value of the put if exercised immediately equals the value of the put if it is held to next period. Solving for X, we find that the break- even exercise price is $61.52. b. If the interest rate is increased, the value of the put option decreases.3. If there is an The change in the put increase in: option price is: Stock price (P) Negative Exercise price (EX) Positive Interest rate (rf) Negative Time to expiration (t) Positive Volatility of stock price (σ) Positive Consider the following base case assumptions: P = 100, EX = 100, rf = 5%, t = 1, σ = 50% Then, using the Black-Scholes model, the value of the put is $16.98 The base case value along with values computed for various changes in the assumed values of the variables are shown in the table below: Black-Scholes put value: Base case 16.98 P = 120 11.04 EX = 120 29.03 rf = 10% 14.63 t=2 21.94 σ = 100% 35.04 1904. a. The future stock prices of Matterhorn Mining are: 100 80 125 With dividend 60 105 Ex-dividend 48 75 84 131.25 Let p equal the probability of a rise in the stock price. Then, if investors are risk-neutral: ...