Calculate the risk-neutral probabilities

Reference no: EM132184071

Question - Consider a futures contract on a non-dividend paying stock with futures price $40 and time to expiration 4 months. Assume that in four months the stock price will be either $44 or $38. Calculate the risk-neutral probabilities for the future stock prices.

Reference no: EM132184071

Questions Cloud

Construct a tracking portfolio for the option : Consider a European put option on a non-dividend paying stock with strike price $31 and time to expiration 4 months. Construct a tracking portfolio for option

The importance of change management : You are a project manager and believe that your initiative would be more successful if you had a change manager on your team.

Examine the organizational structure of your company : Examine the organizational structure of your company and suggests ways it can be changed to improve the overall profitability.

Identify the core values of the psychiatry profession : Sarah Harris, your supervisor at the pretrial diversion program where you are interning, obtains a case that she asks you to work on independently.

Calculate the risk-neutral probabilities : Assume that in four months the stock price will be either $44 or $38. Calculate the risk-neutral probabilities for the future stock prices

What is meant by the term stagflation : What is meant by the term stagflation? What happens if stagflation occurs within the economy in terms of consumer spending and consumer confidence?

Briefly describe the activities that need to occur : Briefly describe the activities that need to occur to set up the emergency operation center for your company, and where your company should locate the center.

What do you think plusses and minuses are : What do you think plusses and minuses are? Is immigration good for an economy? Does it matter if it is legal or illegal immigration?

How do you think the nature of leadership in work : How have advances in information technology changed the way organizations are structured and designed today?

User Account

All Pages