The current futures price is 100 + 4 In the first period,the futures price can either go up 40% or down 30%.The riskless rate is (10 + 1) %. In the second period,the futures price can either go up 30% or down 20%.The riskless rate is (5 + 4)%. Find the price of a futurescall maturing in two periods with a strike price 110.

Let's examine each stage in greater detail: 1. At the conclusion of the first period, compute the…

Answered: The current futures price is 100 + 4 In…

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

See similar textbooks

Similar questions

Suppose the current price for coffee for delivery in December is $1.3890 per pound. Each contract is for 37,500 pounds. Initial margin is $5000 and maintenance margin is 2700 on what day will long side get a margin call if over the next 5 days the futures price evolves as follows Day Futures Price 1. $1.4110 2. $1.4290 3. $1.3800 4. $1.3165 5. $1.3175
D4) Finance Suppose the continuously compounding interest rate r is constant. Given S(0), find the price of the stock after two days such that the marking to market of futures with delivery in 3 months is a dollars on day one and b dollars on day two.
B7
Today is September 1. A futures contract on crude oil expiring on December 20 of the same year has a futures price of $44.70. The volatility on the futures contract is 23%, and the continuously compounded risk-free rate is 2%. Assume that there are 365 days in a year. a. What is the Black model price of a European call option on this futures contract, expiring on December 20 and with an exercise price of $46? b. What is the Black model price of a European put option on this futures contract, expiring on December 20 and with an exercise price of $50?
A3) Finance The implied volatilities for strike prices of 1.1 and 1.2 when the time to maturity is 3 months are 20% and 22%. The implied volatilities for strike prices of 1.1 and 1.2 when the time to maturity is 9 months are 17% and 20.2%. What is the implied volatility for the strike prices of 1.1 for a time to maturity of 6 months? Select one: a. 20.10% b. 8.50% c. 21.10% d. 19.40% e. 18.50%
Refer to the Mini-S&P contract in Figure 22.1. Assume the closing price for this day.a. If the margin requirement is 23% of the futures price times the contract multiplier of $50, how much must you deposit with your broker to trade the March maturity contract? (Round your answer to the nearest whole dollar.)Required margin depositb. If the March futures price increases to 2594.70, what percentage return will you earn on your investment if you entered the long side of the contract at the price shown in the figure? (Do not round intermediate calculations. Round your answer to 2 decimal places.)Percentage return on net investment%c. If the March futures price falls by 1%, what is your percentage return? (Negative amount should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 2 decimal places.)Percentage return on net investment%
Suppose that March oil futures have the price of $65/barrel, and the size of the contract is 1,000 barrels. When the contract matures in March, what will be the profit of a single long futures contract if the spot price is $68.50/barrel? Only typed Answer and give Answer fast
Suppose we enter into a 76-day T-bill futures contract quoted at 0.021. The notional amount is $1,000. What is the actual price?
Find the price of an American call option on a futures if the current spot price is 30, the exercise price is 25, the futures price is 33.70, the risk-free interest rate is 6 percent, the spot asset can go up by 10 percent or down by 8 percent per period and the call expires in two periods, which is also when the futures expires. Show your working. A. 9.98 B. 8.70 C. 7.73 D. 8.22
The futures price of an asset is currently 80 and the risk-free rate is 4%. A six-month put on the futures with a strike price of 85 is currently worth 6.5. What is the value of a six-month call on the futures with a strike price of 85 if both the put and call are European? What is the range of possible values of the six-month call with a strike price of 85 if both put and call are American? Show all work and briefly discuss.
The June CBOT Treasury bond futures contract has a quoted price of 95'7. If annual interest rates go up by 1.75 percentage point, what is the gain or loss on the futures contract? Round to the nearest whole dollar.
6(b) Suppose that a futures price is currently £30. The risk-free interest rate is 5% per annumcontinuously compounded. A three-month American call futures option with a strike priceof £28 is worth £4. Calculate bounds for the price of a three-month American put futuresoption with a strike price of £28.

SEE MORE QUESTIONS

Recommended textbooks for you

Essentials Of Investments

Finance

ISBN:

9781260013924

Author:

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

Publisher:

Mcgraw-hill Education,

FUNDAMENTALS OF CORPORATE FINANCE

Finance

ISBN:

9781260013962

Author:

BREALEY

Publisher:

RENT MCG

Financial Management: Theory & Practice

Finance

ISBN:

9781337909730

Author:

Brigham

Publisher:

Cengage

Essentials Of Investments

Finance

ISBN:

9781260013924

Author:

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

Publisher:

Mcgraw-hill Education,

FUNDAMENTALS OF CORPORATE FINANCE

Finance

ISBN:

9781260013962

Author:

BREALEY

Publisher:

RENT MCG

Financial Management: Theory & Practice

Finance

ISBN:

9781337909730

Author:

Brigham

Publisher:

Cengage

Foundations Of Finance

Finance

ISBN:

9780134897264

Author:

KEOWN, Arthur J., Martin, John D., PETTY, J. William

Publisher:

Pearson,

Fundamentals of Financial Management (MindTap Cou…

Finance

ISBN:

9781337395250

Author:

Eugene F. Brigham, Joel F. Houston

Publisher:

Cengage Learning

Corporate Finance (The Mcgraw-hill/Irwin Series i…

Finance

ISBN:

9780077861759

Author:

Stephen A. Ross Franco Modigliani Professor of Financial Economics Professor, Randolph W Westerfield Robert R. Dockson Deans Chair in Bus. Admin., Jeffrey Jaffe, Bradford D Jordan Professor

Publisher:

McGraw-Hill Education

SEE MORE TEXTBOOKS