What is the portfolio expected returns

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1. Price a 6 month American call option with strike price 1100, written on a 2 year futures contract on silver. The current futures price is 1300. Use a two step tree, with 3 month time steps. Volatility is 22%. Interest rates are 7%. Use the binomial tree technique.

2. A portfolio is invested 27.3% in Stock A, 27.3% in Stock B, and the remainder in Stock C. The expected returns are 12.2%, 29.8%, and 21.9% respectively. What is the portfolio's expected returns?

3. You purchased ABC stock six years ago and have earned annual returns of 41%, 36%, 2%, -2.3%, -10.2%, and -16.9%. What is the geometric average return?

Reference no: EM131863025

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