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on september 26 the spot price of wheat was 35225 per bushel and the price of a december wheat futures was 364 per
describe two problems in using the black option on futures pricing model for pricing options on eurodollar futures
assume that there is a forward market for a commodity the forward price of the commodity is 45 the contract expires in
on a particular day the september sampp 500 stock index futures was priced at 96050 the sampp 500 index was at 95649
on september 12 a stock index futures contract was at 42370 the december 400 call was at 2625 and the put was at 325
use the following data from january 31 of a particular year for a group of march 480 options on futures contracts to
assume a standard deviation of 8 percent and use the black model to determine if the call option in problem is
using the information in the previous problem calculate the price of the put described in problem using the black model
suppose that there is a futures contract on a portfolio of stocks that currently are worth 100 the futures has a life
suppose that a futures margin account pays interest but at a rate that is less than the risk-free rate consider a
explain the relationship between carry arbitrage and the implied repo rate define the conversion factor why are us
explain the implied repo rate on a us treasury bond futures spread positionidentify two ways to express interest rate
on november 1 the one-month libor rate is 40 percent and the two-month libor rate is 50 percent assume that fed funds
a corporate cash manager who often invests her firms excess cash in the eurodollar market is considering the
on september 26 of a particular year the march treasury bond futures contract settlement price was 94-22 compare the
it is august 20 and you are trying to determine which of two bonds is the cheaper bond to deliver on the december
assume that on march 16 the cheapest bond to deliver on the june t-bond futures contract is the 14s callable in about
on july 5 a stock index futures contract was at 39485 the index was at 39254 the risk-free rate was 283 percent the
rework problem assuming that the index was at 38814 at expiration determine the profit from the arbitrage trade and
on march 16 the march t-bond futures settlement price was 101 2132 assume the 12 12 percent bond maturing in about 22
on september 12 the cheapest-to-deliver bond on the december treasury bond futures contract is the 9s of november
on march 16 the june t-bond futures contract was priced at 100 1732 and the september contract was at 99 1732 determine
explain the impact on the implied repo rate of changing from the bid to the offer futures price of the longer dated
referring to problem suppose transaction costs amounted to 05 percent of the value of the stock index explain how these