Determine the intrinsic value of the call

Assignment Help Finance Basics

Reference no: EM131291168

On December 9 of a particular year, a January Swiss franc call option with an exercise price of 46 had a price of 1.63. The January 46 put was at 0.14. The spot rate was 47.28. All prices are in cents per Swiss franc. The option expired on January 13. The U.S. risk-free rate was 7.1 percent, while the Swiss risk-free rate was 3.6 percent. Do the following:

a. Determine the intrinsic value of the call.

b. Determine the lower bound of the call.

c. Determine the time value of the call.

d. Determine the intrinsic value of the put.

e. Determine the lower bound of the put.

f. Determine the time value of the put.

Reference no: EM131291168

Questions Cloud

Two of the nation biggest airlines challenged : Please provide a comparison between Delta and American Airlines regarding concerns of capacity growth exceeding demand.

Find optimal solution to given integer programming problem : Find the optimal solution to the given integer programming problem.- Suppose that instead of maximizing profit from surgeries, our objective is to minimize the cost incurred due to surgeries.

Examples of economies and diseconomies of scale : Provide and discuss some examples of economies and diseconomies of scale in a college environment. Discuss some forecasting issues that you encounter in your daily life. How do you make your forecasts? Provide some examples of time series that exhibi..

Python regular expressions and dictionaries : Complete as many exercises from the book as necessary to understand the concepts. These will not be graded. The graded part of the assignment is to use regular expression

Determine the intrinsic value of the call : On December 9 of a particular year, a January Swiss franc call option with an exercise price of 46 had a price of 1.63. The January 46 put was at 0.14. The spot rate was 47.28.

What are the trends movements and key buildings or projects : What are the trends, movements, and key buildings/projects? Is architecture in 2016 still modernist? Why or why not? Write a three-page (750 word) essay on that topic, using specific examples as needed to reinforce your argument.

Managing dynamic enviroment : For this assignment, you should create a plan to hire an employee for a position within your organization to support a recent change. In this plan, you should include the following:

Identify the appropriate arbitrage opportunity : Identify the appropriate arbitrage opportunity and show the appropriate arbitrage strategy.

What is the time to maturity of this option : A non-dividend-paying common stock is trading at $100. Suppose you are considering a European call option with a strike price of $110. What is the time to maturity of this option where the boundary condition begins to be non-zero?

User Account

All Pages