AAPL is currently trading for $95 per share. The stock pays no dividends. A one-year European put option on AAPL with a strike price of $90 is currently trading for $7.60. If the risk-free interest rate is 2% per year, then the price of a one-year European call option on AAPL with a strike price of $90 will be closest to:

Q: Suppose that at the present time, one can enter 5-year swaps that exchange SOFR for 4%. An…

A: Notional principal= 110,000,000*(8%-4%)= 110,000,000*4% = 4400000Present Value can be calculated…

Q: share is currently trading at $100. At the end of each day for the next 60 days, it will change by…

A: The binomial option pricing model is a method used to evaluate the price of an option, which gives…

Q: 8. Consider a European call option on a stock. The exercise price is $60.5 dollars. The time until…

A: Put-Call Parity represents the relationship that must exist between the European call and put…

Q: The stock price is currently $130. Over each of the next two 2-month periods, it is expected to go…

A: A mathematical model used in finance to value options is called the binomial model and it makes the…

Q: The price of Bobco stock is currently $60. In one year, the price will either be $66 or $54. If the…

A: The pricing of options by the means of a replicating portfolio is the process by which the payoffs…

Q: An investor enters into a 2-year swap agreement to swap euros at $1.32 per euro. Soon after the swap…

A: Swap is a derivative contract between two parties who agree to exchange financial instruments or…

Q: None

A: To calculate the 10-day 99% VaR using Monte-Carlo simulations in Excel, we need to follow these…

Q: XYZ Corporation will pay a $2 per share dividend in two months. Its stock price currently is $80 per…

A: A call option is a financial contract that, before or on a designated expiration date, grants the…

Q: A 6-month European put option on a stock with a strike price $63 is selling for $2, the current…

A: A financial concept known as "Put-Call Parity" states that there should be no chance of arbitrage…

Q: a. Complete the worksheet and determine the net profit per unit to Reska, Inc., for each possible…

A: The options are contracts that offer you the option to purchase or sell assets at a specific price,…

Q: The current price of XL Corporation stock is $40.  In each of the next two years, this stock price…

A: Calculate the probabilities: p is 57.37% and 1-p is 42.63%.

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A: The call option gives opportunity to buy the stock on expiration but no obligations to do that and…

Q: percent. Assume the annualized volatility of the Swiss franc is 14.20 percent. Use the European…

A: Options provide the option to purchase or sell assets at a predetermined price before a specific…

Q: e current price of YBM stock S is $55. At-the-money European options with a strike price K = S and…

A: Put call parity is the basic equation in determining the price of option so that no arbitrage…

Q: The stock price is currently $130. Over each of the next two 2-month periods, it is expected to go…

A: A mathematical model used in finance to value options is called the binomial model and it makes the…

Q: A stock price is currently $52. At the end of 9 months, it will be either $60 or $44. The risk-free…

A: The hypotheses of binomial option price models are that there are two potential outputs, so the…

Q: A share of MSFT is currently selling for $54. A put option, with an exercise price of $30, sells for…

A: given, S0= $54 k = $30 p = $3 r=6% t=1

Q: pean put option on a barrel of crude oil with a strike price of $50 and a maturity of one-month,…

A: Call and put option gives the opportunity to buy or sell stock at the date of expiration.

Q: 9. A trader buys one European call option contract with a strike price of $30 and a time to maturity…

A: Variables in the question:Cost of call option =$3Strike price=$30n=1 yearPrice in one year=$32Assume…

Q: Plot the value of a two-year European put option with a strike price of $20 on World Wide Plants as…

A: A put option is an option that gives the buyer the right but not the obligation to sell the…

Q: ean put and call options both have an exercise price of GH¢50 that expires in 120 days. The…

A: Call give the right to purchase the equity on the expiration but no obligation there to do that.

Q: A put option that expires in six months with an exercise price of $65 sells for $4.45. The stock is…

A: Put call parity represents the relationship between the price of a European call option and the…

Q: A put option that expires in six months with an exercise price of $65 sells for $4.45. The stock is…

A: Solution:Put call parity is the equation which shows the relationship between put price, share…

Q: Am. 103.

A: see the explanation below; In options trading, the principle of put-call parity plays a fundamental…

Q: The risk-free rate is 8% per annum with continuous compounding. The price of stock CPU is $30. CPU…

A: Risk free rate = r = 8% per yearPrice of stock = $30Strike price = $32Period = t = 6 months = 6 /…

Q: The futures price of an asset is currently 80 and the risk-free rate is 4%. A six-month put on the…

A: given information  risk free rate = 4% strike price = 85 currently worth 6.5

Treasury Market

On-the-run securities are the most recently issued securities in the market depth and are therefore traded at some premium. The off-the-run securities are the ones issued just before the most recent ones. The on-the-run securities have a lower yield to the investor than the off-the-run securities.