Find the approximate risk-free rate

Assignment Help Risk Management
Reference no: EM13926038

1. Consider an option that expires in 68 days. The bid and ask discounts on the Treasury bill maturing in 67 days are 8.20 and 8.24, respectively. Find the approximate risk-free rate.

2. What would happen in the options market if the price of an American call were less than the value Max(0, S0 - X)? Would your answer differ if the option were European?

Reference no: EM13926038

Questions Cloud

Breasts and axillae: inspect breasts abnormal findings : -marked asymmetry?-rapid changes in size of one could indicate inflammatory process or growth?-dimpling, retraction, or bulging could indicate a malignancy?-inflammation may cause surface erythema and heat
Calculate measurements of central tendency and dispersal. : Determine confidence intervals for data.
Series of studies of economic growth : In a series of studies of economic growth conducted at the National Bureau of Economic Research, economists showed that the historic rate of economic growth in GDP could not be accounted for entirely by growth in labor and capital inputs. Consensu..
What is the field of consulting : Tasks: In this module's discussion, answer the following: Based on an organization you are familiar with, identify one project that would be suited for help from an outside consultant
Find the approximate risk-free rate : Consider an option that expires in 68 days. The bid and ask discounts on the Treasury bill maturing in 67 days are 8.20 and 8.24, respectively. Find the approximate risk-free rate.
What is the purpose : What is the purpose of the W-2 form?
Work out conditions under which a country will choose to emu : Suppose a country has a different target level of output than the ECB. Further assume that a country which decides to leave the EMU pays some annual cost C in units of the loss function (this may be lost trade, fines, lost prestige, etc.) Work out..
Properties of the binomial distribution : Which of the following is/are properties of the Binomial Distribution? A. The number of trials is fixed in advance.B. The trials are independent. C. Each trial has exactly two outcomes. D. The probability of success is the same for each trial.
What type of transaction you execute to achieve benefit : What type of transaction should you execute to achieve the maximum benefit? Demonstrate that your strategy is correct by constructing a payoff table showing the outcomes of expiration.

Reviews

Write a Review

Risk Management Questions & Answers

  Discuss the concept of risk

What are the sources of error in estimating the value of a share of stock?Which is most likely to be accurate: the computed price of a share of stock or the computed price of a bond?

  What is difference between systematic and unsystematic risks

What is the difference between systematic and unsystematic risks? Is it true that regulators are more interested in systematic risks while individual banks give equal importance to both? Please share your views.

  Economic failure from a risk management

What was the economic failure from a Risk management prospective which caused the company to file for bankruptcy, and need aid from the government?

  How credit risk management done in financial intermediaries

Briefly elucidate how credit risk management is done in financial intermediaries. Explain whether a financial intermediary can shy away from taking credit risk, i.e. be credit risk averse? Please elaborate.

  How risk plays a role within financial markets

how risk plays a role within financial markets and how did Bernard Madoff change the way in which individuals viewed the stock market and their investing plans.

  Describe the steps taken to resolve the conflict

Describe the steps taken to resolve the conflict or, if it is an ongoing conflict, propose steps to resolve the conflict. Describe a conflict within an organization or team with which you are familiar.

  Determine the value of portfolio if domestic stock increases

Determine the value of the portfolio if the domestic stock increases by 2 percent, the domestic stock futures contract increases by 1.8 percent, the foreign stock increases by 1.2 percent.

  What are the usual types of collateral securities

What are the usual types of collateral securities? Explain different methods of taking securities. What is structural subordination risk? Is credit evaluation of a corporate guarantor required? Please elaborate.

  What diagramming techniques will you use to explore risks

What risk identification techniques will you utilize, and why do you believe that these will work best for your Key Assignment project? What diagramming techniques will you use to fully explore specific types of risks?

  Explain how the credit portfolio approach is reflected

Hypothetical Bank Ltd's credit portfolio comprises only two customers. Explain how the credit portfolio approach is reflected in the calculation of regulatory and economic capital.

  Explain possible risk mitigants you would seek from customer

Explain the possible risk mitigants you would seek from the customer and the kind of credit monitoring system you would implement to closely track developments.

  What are the advantages and disadvantages of using credit

What are the advantages and disadvantages of using credit? Do you believe credit is the life blood of the economy? Please elaborate.

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