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Unformatted text preview: $13.35 13. Assume that you have a call option with a strike (exercise) price of $35, a current stock price of $38, 146 days until expiration, and an annualized standard deviation of 48.00%. Assuming a riskfree rate of 4.00 percent, calculate the price of an equivalent put option (same parameters). (Take all preliminary numbers out to 9 decimal places.) A. $1.84 B. $2.20 C. $2.91 D. $1.65 E. $3.27 14. Assume that a stock is currently selling for $80. The stock price could go up by 30% (u = 1.30) or fall by 20% (d = 0.80) each period. The periodic interest rate is 1% (1% each period). Using the binomial model, calculate the price of a call option on the stock with an exercise price of $75 and a maturity of two periods. A. $15.09 B. $13.75 C. $16.48 D. $14.33 E. $15.84...
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This note was uploaded on 07/13/2011 for the course FIN 4414 taught by Professor Staff during the Spring '08 term at University of Florida.
 Spring '08
 Staff
 Interest, Interest Rate, Options

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