Cnsider the following dataprice of stock now p , Ask an Expert

Finance

Consider the following data:

Price of stock now = P = 530

Standard deviation of continuously compounded annual returns = σ = .3156

Years to maturity = t = .5

Interest rate per annum = rf = 2.01% (1% for six months)

Beta of the stock = 1.15

Risk-free loan beta = 0

Round answers to 2 decimal places:

1. Calculate the risk (beta) of a six-month call option with an exercise price of $530. Risk of Call Option:

2. Calculate the risk (beta) of a six-month call option with an exercise price of $450. Risk of Call Option:

3. Calculate the risk of a one-year call with an exercise price of $530.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92419969

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