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Use the answer to Problem and put-call parity arguments to calculate the price of a put option that has the same terms as the call option in Problem.
Problem :Suppose that a = 0:05, b = 0:08, and σ = 0:015 in Vasicek's model with the initial short-term interest rate being 6%. Calculate the price of a 2.1-year European call option on a bond that will mature in 3 years.
Suppose that the bond pays a coupon of 5% semiannually. The principal of the bond is 100 and the strike price of the option is 99. The strike price is the cash price (not the quoted price) that will be paid for the bond.
Construct a trinomial tree for the Hull-White model where there are two time steps, each 1 year in length. - Calculate the price of a 2-year zero-coupon bond from the tree in Figure.
What are Mark's tax consequences on the grant date, the exercise date, and the date he sells the shares, assuming his ordinary marginal rate is 30 percent and his long-term capital gains rate is 15 percent
Pat Maninen earns a gross salary of $2,100 each week. Assume a rate of 6.2% on $106,800 for Social Security and 1.45% for Medicare. What are Pat's first week's deductions for Social Security and Medicare
The before-tax cost of debt is 7.50%, and the tax rate is 40%. The target capital structure consists of 45% debt and 55% common equity. What is the company's WACC if all the equity used is from retained earnings
The Bouchard Company's EPS was $6.96 in 2012, up from $3.34 in 2007. The company pays out 50% of its earnings as dividends, and its common stock sells for $31.
difference between heavy lift surcharge and long lift
Silas 4-Wheeler, Inc., has an ROE of 18.05 percent, equity multiplier of 1.60, and a profit margin of 18.80 percent. What is the total asset turnover and the capital intensity
Dividends are expected to grow at a rate of 20 percent for the next three years, with the growth rate falling off to a constant 8 percent thereafter. If the required return is 11 percent and the company just paid a dividend of $1.45
Find the future fund for Kelly, who is saving $350 at the beginning of each month for the next 4 years, if her savings account bears 7 1/2% interest compounded quarterly.
Wagner Industrial Motors, which is currently operating at full capacity, has sales of $2,450, current assets of $790, current liabilities of $480, net fixed assets of $1,640, and a 5 percent profit margin.
option valuation reportemployee stock options eso are call options on a companys stock granted by the company to its
Use the duration model to estimate the 20-day 90% VaR for the portfolio. Explain carefully the weaknesses of this approach to calculating VaR. Explain two alternatives that give more accuracy.
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