Question a A futures price is currently 40. It is known that at the end of three months the price will be either 35 or 45. What is the value of a three-month European call option on the futures with a strike price of 42 if the risk-free interest rate is 7% per annum? . Full explain this question and text typing work only We should answer our question within 2 hours takes

Question a A futures price is currently 40. It is known that at the end of three months the price will be either 35 or 45. What is the value of a three-month European call option on the futures with a strike price of 42 if the risk-free interest rate is 7% per annum? . Full explain this question and text typing work only We should answer our question within 2 hours takes

International Financial Management

14th Edition

ISBN:9780357130698

Author:Madura

Publisher:Madura

Chapter11: Managing Transaction Exposure

Section: Chapter Questions

Problem 56QA

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Question A .In April you bought two futures contracts on FOJC when the future price was US 286 cents per pound with an initial margin of US$5,000 per contract. Each contract is for delivery of 15,00 pounds. If your maintenance margin is US$3,750, what price change in FOJC would lead to a margin call? Full explain this question and text typing work only We should answer our question within 2 hours takes more time then we will reduce Rating Dont ignore this line
Fast pls solve this question correctly in 5 min pls I will give u like for sure Surbh 14. The futures price of a commodity is $45. The volatility of the futures price is 14% and the continuously compounded risk free rate is 3% for all maturities. An American put option on the futures contract has strike price of $45 and a time to expiration of 6 months. Use a two-step tree. Which of the following is closest to the value of the American put ? a. $1.5625 b. $0.0 c. $1.5508
Using the Black-Scholes formula find the price of a $50 strike price European call option expiring in 6 months. The current price of the underlying stock is $45 and its return volatility is 20%. The continuously compounding risk-free rate is 3%. Select one: O A. $0.91 O B. $2.01 O C. $1.25 O D. None of the options are correct O E. $1.05
Give typing answer with explanation and conclusion An at the money European call option has 3 months until expiration and a strike of $60. You believe that the stock has an equal likelihood of going up to $70 or down to $50 in that time and that no other value is possible. Given that the risk-free rate is 4% EAR, what is the Binomial model estimated price of this option? [Hint: This may be quicker to solve with risk-neutral probabilities] $0 $4.95 $5.00 $5.24 $9.90
User A European call option with a strike price of 105 will expire in two years. The current stock price is $ 100. The value of u = 1.3 and the value of d = 0.8. The annual interest rate (based on continuous compounding)is 10%. Using a three-period binomial model （a）Determine the risk-neutral probability values at each end node (Hint: draw a tree) Please draw a binomial tree！！！ Can you give me the steps （b）Find the expected value of the call in two years. （c）Find the current price of the call option.
The current stock price is $50. The stock price can go up by 10% or go down by 10% in each month for 3 months. The risk-free interest rate is 12%. What will be the price of 3- months European Put option using 3-Step Binominal option pricing model if the strike price of the option is $55? Answer choices: a. $2.34 b. $8.91 c. $5.24 d. $5.00
Question A Consider a two-period binomial model, where each period is 6 months. Assume the stock price is $50.00, = 0.20, r = 0.06 and the dividend yield = 3.5%. What is the lowest strike price where early exercise would occur with an American put option? ........Full explain this question and text typing work only We should answer our question within 2 hours takes more time then we will reduce Rating Dont ignore this line.
Question 1 Help = 1. Find the expected profit for a holder of a European call option with K = 94 to be exercised in six months if the stock price at maturity is ST (90, 96, 98) with probabilities p = (1, 1, 1), given that the option is bought for Co= 10 financed by a loan at the interest rate of 10% (per annum).
7 What is the change in the lower bound price of a 3-month European put option if the stock price moves from $30 to $29. Assume the strike price is $35 and the risk free rate is 3%.
Question 1 • Springtime Insurance Brokers Ltd. (SIBL) stock is currently selling for $42. A put option on the stock with a value of $3 has an exercise price of $40 and 6 months until expiration. To prevent arbitrage opportunities, what should be the value of a call option with the same strike price and expiration date? Assume that the options are European and that the effective annual risk-free rate is 6%.
d) A stock price is currently £10. It is known that at the end of the month it will be either £15 or £9. We assume the risk-free interest rate is r 0. Using the idea of pricing by the absence of arbitrage find the value of a one-month European call option with a strike price of £13.
Determine the risk-neutral value for a European put option (for a FLB (First Local Bank) share) that expires in eight months. The strike price is R500 and the current price is R650. The interest rate is 11%, and the volatility of the security is 0.026. *DO NOT USE EXCEL OR ANY OTHER PLATFORM, SHOW STEP-BY-STEP CALCULATION