Determine for american put option

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Reference no: EM133983486

Questions

1. A stock is trading at $262.84, given the following conditions:

• Strike price is $230.00

• Continuously compound rate of return is 3.7278%pa

• Time to expiry of the option is 2 years

• Number of steps is 2

• Volatility of the stock is 24.15%

• Dividend in 12 months is expected to be $12.78

• Dividend in 2 years is expected to be $12.98

Determine for an American call option:

(a) Option price

(b) Delta of the option

2. A stock is trading at $288.33, given the following conditions:

• Strike price is $300.00

• Continuously compound rate of return is 4.2278%pa

• Time to expiry of the option is 1 year

• Number of steps is 2

• Volatility of the stock is 26.85%

• Dividend in 6 months is expected to be $22.78

• Dividend in 12 months is expected to be $25.88

Determine for an American put option:

(a) Option price

(b) Delta of the option

Reference no: EM133983486

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