European cash-or-nothing call pays its holder fixed amount

Assignment Help Financial Management

Reference no: EM131064901

A European cash-or-nothing call pays its holder a fixed amount F if the price at expiration time is larger than K and pays 0 otherwise. Find the risk-neutral valuation of such a call, one that expires in six month’s time and has F = 100 and K = 40 ,if the present price of the security is 38, its volatility is 0.32, and the interest rate is 6%

Reference no: EM131064901

Questions Cloud

Write a paper about us immigration and naturalization : Write a paper about U.S. Immigration and Naturalization and Customs Service and the creation of separate agencies under the Department of Homeland Security.

Use vdm method to specify an automated transaction machine : CSCI410/CSCI910 - Software Engineering Formal Methods - Use VDM method to specify an automated transaction machine

What is the arithmetic return for the stock : A stock had returns of 18 percent, 11 percent, 17 percent, 14 percent, 19 percent, and -10 percent over the last six years. Required: (a) What is the arithmetic return for the stock? (b) What is the geometric return for the stock?

What percent is the fish tank empty : A fish tank in the shape of a rectangular prism has dimensions of 15 inches and 12 inches and 8 inches the tank contains 1152 cubic inches of water. What percent is the fish tank empty?

European cash-or-nothing call pays its holder fixed amount : A European cash-or-nothing call pays its holder a fixed amount F if the price at expiration time is larger than K and pays 0 otherwise. Find the risk-neutral valuation of such a call, one that expires in six month’s time and has F = 100 and K = 40 ,i..

Strengthen and improve initial proposal : 1. A business research topic. Strengthen and improve initial proposal.2. A brief literature review of the research topic. Produce 2 to 3 pages on background information on your research topic.

Nominal rate of return on this investment over the past year : Suppose you bought a 10 percent coupon bond one year ago for $910. The bond sells for $990 today. Requirement 1: Assuming a $1,000 face value, what was your total dollar return on this investment over the past year? What was your total nominal rate o..

Determine the maximum principle stresses : Find the critical stresses for the loading shown at section a-a if the load P applied is 100 N. The maximum principle stresses

Risk-neutral valuation of six-month european put option : What is the risk-neutral valuation of a six-month European put option to sell a security for a price of 100 when the current price is 105, the interest rate is 10%, and the volatility of the security is 0.30?

User Account

All Pages