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

  The starting and ending total debt balances were 84652 and

question adelsons electric had beginning long-term debt of 42511 and ending long-term debt of 48919. the beginning and

  Youve purchased a car for 10000 and now are deciding

youve purchased a car for 10000 and now are deciding whether to have a moonroof installed for 400 and a security

  What is the after-tax salvage value

If the lathe can be sold for $4,300 at the end of year 3, what is the after-tax salvage value?

  Compute the contingent payoff to the debt

The simple company has an outstanding debt obligation to the Complex Corporation of $250 suppose this is Simple's only debt.

  How much would you be willing to pay for it today

The company's marginal tax rate is 40%. If you require a 20% rate of return on a stock such as this, how much would you be willing to pay for it today?

  The t-bill rate is 145 the beta of the company is 112 and

the president of the company would like you to figure the cost of equity for your corporation. the t-bill rate is 1.45

  Substitute comparative valuation ratio

In some cases for equity valuation, Price Earnings ratios are not available, for example, with internet startups with no earnings, or with negative earnings.

  The concept of business ecosystems

The concept of business ecosystems implies that organizations are more interdependent than ever before. - From personal experience, do you agree?

  Difference between the two population means

Sum of the two samples, The difference between the two population means, The difference between the two sample means, or The sum of the two population means? Please explain your answer.

  Determine the amount of external financing needed

Given the compressed version of balance sheet and income statement; determine the amount of external financing needed to increase sales by twenty percent next year.

  Determine the net present value of the laser

Determine the Net present Value of a machine that takes little plastic boxes to hold a variety of playing cards. The machine requires an initial investment of $750,000 and will return $200,000 in cash flow per year for exactly five years. The rele..

  What are the three main types of trend models what are the

what are the three main types of trend models? what are the advantages and disadvantages of each trend model?name and

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