User Account

All Pages

Value a european call futures option

Assignment Help Finance Basics
Reference no: EM131214052

Question 1: Which of the following condition is correct if you want to value a European call futures option where the futures price is 50, the strike price is 50, the risk-free rate is 5%, the volatility is 20% and the time to maturity is three months? Show your work in detail.

  • 49.38N(0.1)-49.38N(-0.1)
    • 50N(0.05)-50N(-0.05)
    • 49.38N(0.05)-49.38N(-0.05)
    • 48.38N(0.05)-48.38M(-0.05)
    • 50N(0.1)-50N(-0.1)
    • 48.38N(-0.05)-48.38N(0.05)

Question 2: For a European call option on a currency, the exchange rate is 1.0000, the strike price is 0.9100, the time to maturity is one year, the domestic risk-free rate is 5% per annum, and the foreign risk-free rate is 3% per annum. How low can the option price be without there being an arbitrage opportunity?

Question 3: The European call and put convexity condition is given below. 

  • Calls (strikes in parentheses): C(90) - 2C(100) + C(110).
  • Puts (strikes in parentheses): P(90) - 2P(100) + P(110).

Calculate the gross payoffs for the above two portfolios in separate tables if the stock prices are as follows: 70, 80, 90, 100, 110, 120, and 130. What is the relationship between the two portfolios? Explain. Identify what type of spread you get in each case and why?

Reference no: EM131214052

Questions Cloud

How might you apply them to business-to-business settings : What would the total Customer Lifetime Value using these calculations? (show your worksheet) Why should all of a firm's departments understand the impact of this strategy?
Analyze the market structure of the industry : Identify the market structure of the industry. Determine elasticity of demand for various quality ranges of product based on textbook theory and judgments about degree of luxury vs. necessity represented by various brands.
Find equilibrium q if several new producers entered market : Find the equilibrium Q if several new producers entered the market, and thereby forced the supply curve down to just equal the marginal cost curve.
Write an essay on how to register a company : BUS200 Assignment. Register a proprietary Ltd Company. The internal management of the company is to be governed by a combination of replaceable rules and a constitution - NB sections 134 and 135
Value a european call futures option : Question 1: Which of the following condition is correct if you want to value a European call futures option where the futures price is 50, the strike price is 50, the risk-free rate is 5%, the volatility is 20% and the time to maturity is three mo..
What is probability that central candidate wins the election : EC302 - Political Economy - Discuss, in light of the papers by Myerson, Lizzeri and Lizzeri and Per-sico, what are the effects of increased political competition on political outcomes - What is the probability that the candidate on the left (with i..
Implications of market values in the future financial : What are the trends and implications of market values in the future financial health of Amazon? Compare market values of quarters 2015?
Write a paper that consists of a very brief marketing plan : Write a 2000 word paper that consists of a very brief marketing plan for either the business you wish to start, or an existing business of your choosing.
End of the payback period : In calculation of a payback period, what use is made of cash flows occurring after the end of the payback period?

Reviews

Write a Review

Finance Basics Questions & Answers

  Financial reporting and analysis

Finance is about Gunns Ltd, a company in dealing with forestry products in Australia. The company has also been listed in Australian Stock Exchange. As many companies producing forestry products, even Gunns Ltd is facing various problems. Due to the ..

  A report on financial accounting

This report is specific for a core understanding for Financial Accounting and its relevant factors.

  Describe the types of financial ratios

Describe the types of financial ratios and other financial performance measures that are used during venture's successful life cycle.

  Differences between sole proprietorship and corporation

Briefly describe the major differences between a sole proprietorship and a corporation

  Prepare a cash budget statement

Calculate the expected value of the apartment in 20 years' time. What is the mortgage loan repayment at the beginning of each month

  What are the implied interest rates

What are the implied interest rates in Europe and the U.S.?

  State pricing theory and no-arbitrage pricing theory

State pricing theory and no-arbitrage pricing theory

  Small business administration

Identify the likely stage for each venture and describe the type of financing each venture is likely to be seeking and identify potential sources for that financing.

  Effect of financial leverage

The Effect of Financial Leverage and working capital management

  Evaluate the basis for the payment to the lender

Evaluate the basis for the payment to the lender and basis for the payment to the company-counterparty.

  Importance of opps, ipps, mpfs and dmepos

Research and discuss the differences and importance of : OPPS, IPPS, MPFS and DMEPOS.

  Time value of money

Time Value of Money project

Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

Submit Assignment

Academics

Major Subjects

Majors

Get In Touch

whatsapp: +1-415-670-9521

Phone: +1-415-670-9521

Email: [email protected]

TERMS & POLICIES

HELP & SUPPORT

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd