Business
Business, 14.04.2020 23:37, eastonstelter

The following prices are available for call and put options on a stock priced at $50. The risk-free rate is 6 percent and the volatility is 0.35. The March options have 90 days remaining and the June options have 180 days remaining. The Black-Scholes model was used to obtain the prices. Calls Puts Strike March June March June 45 6.84 8.41 1.18 2.09 50 3.82 5.58 3.08 4.13 55 1.89 3.54 6.08 6.93 Assume that each transaction consists of one contract (for 100 shares) unless otherwise indicated. Suppose an investor expects the stock price to remain at about $50 and decides to execute a butterfly spread using the June calls. What will be the cost of the butterfly spread

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The following prices are available for call and put options on a stock priced at $50. The risk-free...

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