2. [30 points] It is March 12. Apple Inc.'s (AAPL) stock is currently trading at US$121.03 per share and has a volatilit

[answerhappygod]

2 30 Points It Is March 12 Apple Inc S Aapl Stock Is Currently Trading At Us 121 03 Per Share And Has A Volatilit 1 (95.56 KiB) Viewed 62 times

2. [30 points] It is March 12. Apple Inc.'s (AAPL) stock is currently trading at US$121.03 per share and has a volatility of 40%. The current risk-free rate of interest is 5% per annum. When solving the following problems, show each step. a. What is the price of a European CALL option written on this stock with a $150 strike price that expires in 35 days? Price the option using the Black-Scholes model.? b. What is the price of a European PUT option written on this stock with a $150 strike price that expires in 35 days? Price the option with the Black-Scholes model. 2 c. Based on your answers to (a) and (b), verify the put-call parity holds. d. What is the price of a European CALL option written on this stock with a $150 strike price that expires in 35 days? Price the option with a two-step binomial tree model. Would your answer change if it were an American CALL option? Show your work. What is the price of a European PUT option written on this stock with a $150 strike price that expires in 4 weeks? Price the PUT option with a two-step binomial tree model. Would your answer change if it were an American PUT option? Show your work. f. Using Sm, Sud, ſuu, ſud, So and f from 4.d., calculate the delta, A of the PUT option. e.