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repeat problem on the assumption that the portfolio has a beta of 15 assume that the dividend yield on the portfolio is
show that if c is the price of an american call with exercise price k and maturity t on a stock paying a dividend yield
an index currently stands at 696 and has a volatility of 30 per annum the risk-free rate of interest is 7 per annum and
a foreign currency is currently worth 150 the domestic and foreign risk-free interest rates are 5 and 9
consider a stock index currently standing at 250 the dividend yield on the index is 4 per annum and the risk-free rate
1 consider a four-month put futures option with a strike price of 50 when the risk-free interest rate is 10 per annum
1 an index currently stands at 1500 european call and put options with a strike price of 1400 and time to maturity of
1 what is the put-call parity relationship for european currency options2 can an option on the yen-euro exchange rate
the dow jones industrial average on january 12 2007 was 12556 and the price of the march 126 call was 225 use the
a stock index currently stands at 300 and has a volatility of 20 the risk-free interest rate is 8 and the dividend
suppose that the spot price of the canadian dollar is us 095 and that the canadian dollarus dollar exchange rate has a
1 hedge funds earn a fixed fee plus a percentage of the profits if any that they generate see business snapshot 12 how
the usdeuro exchange rate is 13000 the exchange rate volatility is 15 a us company will receive 1 million euros in
1 explain the difference between a call option on yen and a call option on yen futures2 why are options on bond futures
1 how does the put-call parity formula for a futures option differ from put-call parity for an option on a
1 calculate the value of a five-month european put futures option when the futures price is 19 the strike price is 20
1 suppose you sell a call option contract on april live cattle futures with a strike price of 90 cents per pound each
a stock price is currently 50 assume that the expected return from the stock is 18 and its volatility is 30 what is the
suppose that observations on a stock price in dollars at the end of each of 15 consecutive weeks are as followsestimate
a financial institution plans to offer a security that pays off a dollar amount equal tonbspnbspat time t where
consider an option on a non-dividend-paying stock when the stock price is 30 the exercise price is 29 the risk-free
assume that the stock in problem is due to go ex-dividend in 1 months the expected dividend is 50 centsa what is the
1 in what way would the benefits of backdating be reduced if a stock option grant had to be revalued at the end of each
1 on may 31 a companys stock price is 70 one million shares are outstanding an executive exercises 100000 stock options
in a dutch auction of 10000 options bids are as followsa bids 30 for 3000b bids 33 for 2500c bids 29 for 5000d bids 40