Zero-coupon t-bills expiring on 3152018 are currently


Consider the stock XYZ, which pays no dividends. It is currently trading at $14.93 per share. The following questions refer to options and futures on this stock that expire on 3/15/2018. You may assume that this is exactly 3 months or 0.25 years from now in calculation.

a. Zero-coupon T-bills expiring on 3/15/2018 are currently selling for 99.5013. what is the risk-free spot interest rate?

b. What is the future price of XYZ.

c. A call with a strike equal to the value found in part(b) is selling for $1.20. What is the price of a put with the same strike?

d. You want to make a synthetic short future with a contract price of $16/share. How can you do this using only puts and calls?

e. How much do you pay, or are you paid, at initiation to create this synthetic future?

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Financial Management: Zero-coupon t-bills expiring on 3152018 are currently
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