Reference no: EM131358563
1. What is the delta of a nine-month at the money European call option on a non-dividend paying stock when the risk-free interest rate is 12% per annum, and the volatility of the stock is 18% per annum?
2. A portfolio is worth $90 million. To protect against market downturns the manager of the portfolio requires a six-month European put option contracts on the S&P 500 with a strike price of $10. The S&P 500 index stands at 900. The risk-free rate is 9% per annum, the dividend yield is 6% per annum, and the volatility of the portfolio is 25% per annum.
if the manager buys traded European put options, how much would the insurance cost?
If the manager decides to provide insurance by keeping part of the portfolio in risk-free securities, how much portion of the portfolio should be initially sold and invested in risk-free securities?
3. Consider a call option on a non-dividend paying stock where the stock price is $49, the strike price is $50, the risk free rate is 5%, the time to maturity is 20 weeks (~0.3846 years), and the volatility is 20%
Calculate the delta
Calculate the theta
Calculate the gamma
Calculate the Vega
Calculate the rho
|
How much debt is outstanding in a firm
: How much debt is outstanding in a firm that has calculated the present value of a perpetual tax shield to be $3,144 if the tax rate is 22.3% and the debt carries a 4.1% rate of return? Show your answer to the nearest $1. Do not use the $ or , signs i..
|
|
Project has the annual cash flows
: Please include formula and step by step. A project has the annual cash flows of $5000 for the next 10 years and the $9000 each year for the following 10 years. The IRR of this 20-year project is 8.52%. If the firm's WACC is 8%, what is the project's ..
|
|
Money european call option on a non-dividend
: What is the delta of a nine-month at the money European call option on a non-dividend paying stock when the risk-free interest rate is 12% per annum, and the volatility of the stock is 18% per annum?
|
|
What is the expected return on equity for a firm
: What is the expected return on equity for a firm with a 7.1% expected return on assets that pays 4.9% on its debt. Debt totals 15% of assets? Show your answer to the nearest .01%. Do not use the % sign in your answer.
|
|
Money european call option on a non-dividend
: What is the delta of a nine-month at the money European call option on a non-dividend paying stock when the risk-free interest rate is 12% per annum, and the volatility of the stock is 18% per annum?
|
|
Identify business you are going to build throughout course
: Write an analysis of rivalry, entry barriers, and the threat of substitute products for your business using Porter's Five Forces Model. Be sure to discuss how you could combat the competition with strategies such as product differentiation.
|
|
Class-international business practices
: What are some of the components of these cultures that you need to understand from a business standpoint? How are they different in each country? Specifically, what considerations will be necessary to facilitate collaboration across these cultures?..
|
|
What is the expected return on equity for a firm
: What is the expected return on equity for a firm with a 7.1% expected return on assets that pays 4.9% on its debt. Debt totals 15% of assets? Show your answer to the nearest .01%. Do not use the % sign in your answer.
|
|
Provide a direct link to your corporations sec ten-k report
: Provide a direct link to your corporation's SEC 10K report for the most recent year. A direct link is a hyper link that takes you directly to a Website where the SEC 10K report is located.
|