For the following problem assume the effective 6-month interest rate is 2 %, the S&T 6-month forward price is $ 1020, and use the premiums listed below for S&T options with 6 month to expiration. Strike Cll 950 120.405 51.777 1000 93.809 74.201 Put 1020 84.47 84.47 1050 71.802 101.214 1107 51.873 137.167 Suppose you buy the S&T index for $ 1000 and buy a 950-strike put, and sell a 1107-strike call. Determine the profit for this position at the following S&T index spot prices at expiriry. When price is $ 925, the profit is $ When price is $ 950, the profit is $ When price is $ 975, the profit is $ When price is $ 1000, the profit is $ ? When price is $ 1025, the profit is $ When price is $ 1050, the profit is $ When price is $ 1075, the profit is $ When price is $ 1100, the profit is $ When price is $ 1125, the profit is $ ?

For the following problem assume the effective 6-month interest rate is 2 %, the S&T 6-month forward price is $ 1020, and use the premiums listed below for S&T options with 6 month to expiration. Strike Cll 950 120.405 51.777 1000 93.809 74.201 Put 1020 84.47 84.47 1050 71.802 101.214 1107 51.873 137.167 Suppose you buy the S&T index for $ 1000 and buy a 950-strike put, and sell a 1107-strike call. Determine the profit for this position at the following S&T index spot prices at expiriry. When price is $ 925, the profit is $ When price is $ 950, the profit is $ When price is $ 975, the profit is $ When price is $ 1000, the profit is $ ? When price is $ 1025, the profit is $ When price is $ 1050, the profit is $ When price is $ 1075, the profit is $ When price is $ 1100, the profit is $ When price is $ 1125, the profit is $ ?

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Assume that the strike price is $100. The time to maturity T is 2 months. Risk free rate is 0.1, U=1.21, D=0.82 price the European and American binary calls if the spot price differs from the strike price by 0.01 using the 2 step binomial tree. Use monthly compounding.
Can you explain step by step how you get $1,104.23 by plugging in the numbers and using the formula below?: Given: Coupon rate (6.55%), maturity (15 years), purchase YTM (6.15%). Adjust coupon and maturity for semi-annual periods: Coupon per period = 6.55% / 2 = 3.275%. Number of periods = 15 years * 2 = 30 periods. Use the bond pricing formula: Price = (Coupon * (1 - (1 + YTM/2)^-Number of periods)) / (YTM/2 + (1 + YTM/2)^-Number of periods) Plug in the values: Price ≈ $1,104.23.
Assume oat forward prices over the next 3 years are $2.30, $2.40, and $2.33, respectively. Effective annual interest rates over the same period are 5.5%, 5.8%, and 6.1%. What is the 3-year swap price if the delivery in year 1 is 100,000 bushels, the delivery in year 2 is 125,000 bushels and the delivery in year 3 is 175,000 bushels?
D3) Finance What is the current minimum possible value of an American put whose exercise price is 27 if the current price of the stock is 26.4. (the annual rate of interest is 24% and option’s remaining time to maturity is one month)
you You are considering a 15-year $1,000 un par value bund. Its coupon rate is 10% and interest is paid semiannually. If require on "effective" armual interest rate (not a nominal rate) of 9.2025%, how much should you be willing to for pay the bond? 97 clic ve! 62.211711 $801 200 Mon Noo Z 4
5. 6. Use the following information to answer Questions 5 and 6 You are given the following binomial interest model. Compounding is annual. t = 0 t = 1 i1,H = 3.6% io = 2% ίο i1,L = 2.8% Bond F is a 2-year 4% annual coupon bond with a face value of $100, callable at time t = 1. Find the price of the call option embedded in Bond F. Bond G is 2-year 2.5% annual coupon bond with a face value of $100, putable at times t = 0, and t = 1. Find the price of the put option embedded in Bond G.
what is the rate of return from t to t+1 on abond that is priced at 2,000 initially, provides a coupon paymentat time t+1of 40$ and has its price rise to 2,100 at time t+1
The price of an Australian Savings Bond (ASB) with no expiration date is originally $1,000 and has a fixed annual interest payment of $150. If the price of the ASB then falls by $100, what will be the interest rate yield to a new buyer of the ASB? Multiple Choice 16.7 percent 8.4 percent 13.6 percent О 15 percent 10 percent
What should be the value of a Bankers' Acceptance with a $100,000 face value and 79 days until maturity quoted on a discount basis yielding 1.8935% with the current inflation rate of 2.2972? Consider the same question above assuming a $250,000 face value and 279 days until maturity quoted on a discount basis yielding .8935% with the current inflation rate of 1.467?
An investor wants to find the duration of a(n) 15-year, 6% semiannual pay, noncallable bond that's currently priced in the market at $587.05, to yield 12%. Using a 150 basis point change in yield, find the effective duration of this bond (Hint: use Equation 11.11). Question content area bottom Part 1 The new price of the bond if the market interest rate decreases by 150 basis points (or 1.5%) is $enter your response here. (Round to the nearest cent.)
following questions: a. What is the mid-rate for each maturity? b. What is the annual forward premium for all maturities? (Click on the icon to import the table into a spreadsheet.) Period spot 1 month 2 months 3 months 6 months 12 months 24 months Period Bid Rate Spot 1.3267 1.3265 1.3263 1.3259 1.3250 1.3228 1.3179 a. What is the mid-rate for each maturity? Calculate the mid-rate for each maturity below: (Round to five decimal places.) Days Forward Ask Rate 0 1.3268 1.3266 1.3264 1.3262 1.3252 1.3233 1.3207 Bid Rate US$/€ 1.3267 Ask Rate US$/€ 1.3268 Mid-rate US$/€
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