Get a unique, high-quality and non-plagiarized paper from us today at the most affordable price
Email us :

Confirm that the binomial option price for an American call option is $18.283

Option Pricing (60 Points)Respond to the following questions.
1.Given the following, answer the questions that follow.

S= $100, K = $95, r = 8% (and continuously compounded), σ = 30%, δ= 0, T = 1 year, and n= 3.

a. Confirm that the binomial option price for an American call option is $18.283. (Hint: There is no early exercise. Therefore, a European call would have the same price.)

b. Demonstrate that the binomial option price for a European put option is $5.979. Verify that put-call parity is satisfied.

c. Confirm that the price of an American put is $6.678.

2.If S= $120, K = $100, σ = 30%, r = 0, and δ= 0.08, compute the following:

a. The Black-Scholes call price for 1 year, 2 years, 5 years, 10 years, 50 years, 100 years, and 500 years to maturity. Explain your answer as time to expiration, T, approaches infinity.

b. Change r from 0 to 0.001. Then repeat a. What happens as time to expiration, T, approaches infinity? Explain your answer and include what, if any, accounts for the change.

3.Consider this scenario: A bull spread where you buy a 40-strike call and sell a 45-strike call. In addition, σ = 0.30, r = 0.08, δ= 0, and T = 0.5. Calculate the following:

a. Delta, gamma, vega, theta, and rho if S= $40.

b. Delta, gamma, vega, theta, and rho if S= $45.

c. Are any of your answers to (a) and (b) different? If so, state the reason.

Complete your 2-4 page response using Microsoft Word or Excel. For calculations, you must show work to receive credit. Your well-written response should be formatted according to CSU-Global Guide to Writing and APA Requirements, with any sources properly cited.

Place your order now for a similar paper and have exceptional work written by our team of experts to guarantee you A Results

Why Choose US   

    6+ years experience on custom writing
    80% Return Client
    Urgent 2 Hrs Delivery
    Your Privacy Guaranteed
    Unlimited Free Revisions

How to Place an Order 

Send the assignment details such as the instructions, due date/deadline, number of pages and college level to the customer support agent online on live chat,  fill in the assignment details at place an order or send the information to our email address and a customer support agent will respond to you immediately. 

Once you place your order, we choose for you the best and competent writer for your assignment based on each writer’s competence in handling a subject. 

When the homework is completed, we have a quality assurance team that proofreads the assignment to ensure it meets the required rubric instructions from your professor.

After thorough review of your assignment, we send the paper to the client. In case you need any changes at this point, you can let us know so that we can handle it for you at no extra charge. 

Homework Help Website

Why we should write your Paper 

  1. Money Return guarantee
  2. 0% Plagiarism Rate
  3. Guaranteed Privacy
  4. Written from scratch by highly qualified writers 
  5. Communication at Any Time (24/7)
  6. Flexible Pricing and Great Discount Programs
  7. Timely Deliveries
  8. Free Amendments
Looking for a similar assignment and in urgent need for help? Place your order and have excellent work written by our team of professionals to ensure you acquire the best grades.

  We are here to assist you.


Statistics about Us

130 New Projects
235 Projects in Progress
315 Inquiries
420 Repeat clients

© 2021 Premiered Tutorials
All rights reserved. We provide online custom written papers, such as term papers, research papers, thesis papers, essays, dissertations and other custom writing services.

All papers inclusive of research material are strictly intended to be used for research and study purposes only. Premiered Tutorials does not support or condone plagiarism in any form. These custom papers should be used with proper reference.

Place an Order
error: Content is protected !!