1. Compute the price of an American call option with strike K=110 and maturity T=.25years.
2.Compute the price of an American put option with strike K=110 and maturity T=.25years.
3. Is it ever optimal to early exercise the put option of Question 2? YES OR NO
4. If your answer to Question 3 is "Yes", when is the earliest period at which it might be optimal to early exercise? (If your answer to Question 3 is "No", then you should submit an answer of 15 since exercising after 15 periods is not an early exercise.
5. Do the call and put option prices of Questions 1 and 2 satisfy put-call parity?
Yes
No
6. Compute the fair value of an American call option with strike K=110 and maturity n=10 periods where the option is written on a futures contract that expires after 15 periods. The futures contract is on the same underlying security of the previous questions.
7. What is the earliest time period in which you might want to exercise the American futures option of Question 6?
8. Compute the fair value of a chooser option which expires after n=10 periods. At expiration the owner of the chooser gets to choose (at no cost) a European call option or a European put option. The call and put each have strike K=100 and they mature 5 periods later, i.e. at n=15.