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1 what is a lower bound for the price of a 2-month european put option on a nondividend-paying stock when the stock
the price of a european call that expires in 6 months and has a strike price of 30 is 2 the underlying stock price is
explain the arbitrage opportunities in problem if the european put price is 3problem the price of a european call that
consider a 5-year call option on a non-dividend-paying stock granted to employees the option can be exercised at any
a european call option and put option on a stock both have a strike price of 20 and an expiration date in 3 monthsboth
suppose that you are the manager and sole owner of a highly leveraged company all the debt will mature in 1 year if at
consider an option on a stock when the stock price is 41 the strike price is 40 the risk-free rate is 6 the volatility
1 explain how an aggressive bear spread can be created using put options2 suppose that put options on a stock with
1 a call with a strike price of 60 costs 6 a put with the same strike price and expiration date costs 4 construct a
1 an investor sells a european call option with strike price of k and maturity t and buys a put with the same strike
- a 45-year-old morbidly obese person with a body mass index bmi 30 is seeking bariatric surgery for weight loss with
a trader buys a call option with a strike price of 45 and a put option with a strike price of 40 both options have the
consider an exchange-traded call option contract to buy 500 shares with a strike price of 40 and maturity in 4 months
1 lsquolsquoif most of the call options on a stock are in the money it is likely that the stock price has risen rapidly
use derivagem to calculate the value of an american put option on a non-dividendpaying stock when the stock price is 30
1 the price of a non-dividend-paying stock is 19 and the price of a 3-month european call option on the stock with a
the 1-year libor rate is 10 with annual compounding a bank trades swaps where a fixed rate of interest is exchanged for
a company x has been offered the rates shown in table it can invest for 4 years at 55 what floating rate can it swap
the libor zero curve is flat at 5 continuously compounded out to 15 years swap rates for 2- and 3-year semiannual pay
a financial institution has entered into a 10-year currency swap with company y under the terms of the swap the
research based case study and report aasb 16 leases and its impact on the financial position and performance of
a portfolio manager plans to use a treasury bond futures contract to hedge a bond portfolio over the next 3 months the
1 suppose that the 9-month libor interest rate is 8 per annum and the 6-month libor interest rate is 75 per annum both
1 suppose that a bond portfolio with a duration of 12 years is hedged using a futures contract in which the underlying
on august 1 a portfolio manager has a bond portfolio worth 10 millionthe duration of the portfolio in october will be