Reference no: EM131315918
Consider a call option for an asset with the following parameters
• Current spot price is $50
• Option expires in 12 months
• Each month the asset could increase in value by 3% or decrease in value by inverse
• The risk free rate is 25 basis points per period S0 = $50, T=12, u=1.03, d=1/1.03, R=1.0025
a. Determine the terminal distribution of the asset price (use binom.dist function in excel)
b. describe the distrubtion (mean, standard deviation, shape)
c. Use the distribution to calculate the premium of a call with strike$55 (10% otm) expiring in 12 months.
- C(k=$55,T=12) 10% out of the money call
- P(k=$55,T=12) put with same parameters
- Draw the payoff diagram (not profit) for buying one call and selling one put
- What is the combined premium? P($55,12) – C($55,12)
d. explain the premium in terms of what you expect to receive for selling and what you expect to spend for purchasing (all on discounted basis)
e. what is the premium of a put with the same strike and time to expiration ?
f. what is the 12 month forward price?
|
Optimize the code by eliminating common subexpressions
: Optimize the code by eliminating common subexpressions, performing reduction in strength on induction variables, and eliminating all the induction variables you can.
|
|
How much will it reduce the amount of time left to pay off
: You have some extra cash this month and are considering putting it toward your car loan. Your interest rate 7%; your loan payments are $600 per month; and you have 36 months left on your loan. If you pay an additional $1000 with your next regular $60..
|
|
What would you recommend kyle baxter do
: Identify the business issues that are leading BMC to consider a new application.What are the key factors for Baxter in making the buy vs. build decision?What would you recommend Kyle Baxter do? Provide a rationale for your recommendation.
|
|
Estimate the annual operating and maintenance costs
: Choosing the right equipment and materials at the right cost such as size, thickness, and material grade of the pipe - In calculating the capital cost, consider the major capital components of a pipeline system
|
|
Determine the terminal distribution of the asset price
: Consider a call option for an asset with the following parameters. Determine the terminal distribution of the asset price (use binom.dist function in excel). describe the distrubtion (mean, standard deviation, shape). What is the combined premium?
|
|
What recent outbreaks did you find on the internet
: What recent outbreaks did you find on the Internet? What strategies are being employed to combat these threats to our public health? What strategies are being employed to combat these new threats to our public health?
|
|
Create a cover letter and resume for a job opportunity
: Create a cover letter and resume for a (real or fictitious) job opportunity. You may use the cover letter and templates available in Word. When writing the cover letter, be sure to reference the resume.
|
|
Draw a state-transition diagram for the fs
: Ben has also been experimenting with finite-state machines of the form shown below, where F is an arbitrary two-input tow many different (nonequivalent) finite-state machines can he generate this way?
|
|
What is the true measure of company stock performance
: Is there a risk associated with not having cash invested in the market explain? What is the only reason you should ever buy a stock? What is the true measure of company stock performance?
|