Consider an 8-month european put option on a treasury bond

Assignment Help Finance Basics
Reference no: EM13623815

Consider an 8-month European put option on a Treasury bond that currently has 14.25 years to maturity. The current cash bond price is $910, the exercise price is $900, and the volatility for the bond price is 10% per annum. A coupon of $35 will be paid by the bond in 3 months. The risk-free interest rate is 8% for all maturities up to 1 year. Use Black's model to determine the price of the option. Consider both the case where the strike price corresponds to the cash price of the bond and the case where it corresponds to the quoted price.

Reference no: EM13623815

Questions Cloud

A clump of soft clay is thrown horizontally from 850 m : a clump of soft clay is thrown horizontally from 8.50 m above ground with a speed of of 20.00 ms. where is the clay
Bcause the confidence interval limits zero there a : when an instant replay system for tennis was introduced for a tournament men challenged 460 reference calls and 184 of
The fifth-order maximum of the unknown wavelength exactly : a diffraction grating is illuminated simultaneously with red light of wavelength 660 nm and light of an unknown
Find the 80th percentile of the pecan tree height : the heights of pecan trees are normally distributed with a mean of 10 feet and a standard deviation of 2 feet.what is
Consider an 8-month european put option on a treasury bond : consider an 8-month european put option on a treasury bond that currently has 14.25 years to maturity. the current cash
If i roll a fair die 1000 times find the probability the : if i roll a fair die 1000 times find the probability the number of threes is strictly between 125 and 165 using excel
A gas is compressed from 600 cm3 to 200 cm3 at a constant : a gas is compressed from 600 cm3 to 200 cm3 at a constant pressure of 400 kpa. at the same time 100 j of heat energy is
The number of nonconforming switches in samples of size 150 : the number of nonconforming switches in samples of size 150 are shown below. construct a fraction nonconforming control
Chips home brew whiskey management forecasts that if the : chips home brew whiskey management forecasts that if the firm sells each bottle of snake-bite for 20 then the demand

Reviews

Write a Review

Finance Basics Questions & Answers

  Assuming 360 days in a year calculate debtors turnover

debt collection period of x ltd is 36 days. sales affected during the year were rs 500000. assuming 360 days in a year

  The income statement and the operating section of the cash

the income statement and the operating section of the cash flow statement present a companys results in very different

  What is the immediate dilution potential

Assume that the American Health Systems can earn 9% on the proceeds of the stock issue in time to include them in the current years results. Calcualte earnings per share. Should the new issue be undertaken based on earnings per share?

  Calculate the total variable costs

A firm is reviewing a project with labor cost of $9.90 per unit, raw materials cost of $22.63 a unit, and fixed costs of $8,000 a month.  Calculate the total variable costs of the project.

  Ontario inc manufactures two products standard and enhanced

ontario inc. manufactures two products standard and enhanced and applies overhead on the basis of direct-labor hours.

  Calculating tcm free cash flows

TCM Petroleum is an integrated oil company headquartered in Fort Worth, Texas. The following are the information on its income statements for 2007 and 2008 (all dollar figures are in millions): Calculate TCM's free cash flows (FCF) for 2007 and..

  What is the companys ledger balance

The manager notes that only the $21,000 payment of the 27th has cleared the bank. What is the company's ledger balance and available balance with its bank?

  Expected cash dividends are 250 the dividend yield is 6

expected cash dividends are 2.50 the dividend yield is 6 flotation costs are 4 of price and the growth rate is 3.

  Question an investment has the given range of outcomes and

question an investment has the following range of outcomes and probabilitiesoutcomes

  A sophisticated investor b graham sold 500 shares short of

a sophisticated investor b. graham sold 500 shares short of amwell inc. at 42 a share. the price of the stock

  If the account pays 45 percent interest per quarter how

beginning three months from now you want to be able to withdraw 2100 each quarter from your bank account to cover

  What is the common size percentage for the cost of goods

delmont movers has a profit margin of 6.2 percent and net income of 48900. what is the common size percentage for the

Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd