What is the fair price for this portfoilio

Assignment Help Finance Basics
Reference no: EM13258769

You want to sell a portfolio of European options. The portfolio contains a long position in a 20-strike call, a long position in a 30-strike put, a short position in a 30-strike call, and a short position in a 20-strike put. The expiration date of the options are six months from now. The risk free interest rate is 5% per annum. What is the fair price for this portfoilio. Why?

Reference no: EM13258769

Questions Cloud

What is the after tax cash flow from the sale of this asset : If the relevant tax rate is 35 percent, what is the after tax cash flow from the sale of this asset?
Determine the backward-traveling voltage and current waves : A given cable has characteristic impedance Z0 = 100 Ohms. At a given position on the line, the voltage amplitude is 1 V. Draw a sketch (a snapshot at a fixed time) of the forward-traveling voltage and current waves on the line, showing their amplit..
The chemical reaction using the lowest integer coefficients : Balance the following chemical reaction using the lowest integer coefficients, in acidic conditions I?(aq) + BrO3?(aq) ? HIO(aq) + Br?(aq)
What will be its length at rest : A friend speeds by you in her spacecraft at a speed of 0.770 c. It is measured in your frame to be 4.70m long and 1.45m high. What will be its length at rest
What is the fair price for this portfoilio : The expiration date of the options are six months from now. The risk free interest rate is 5% per annum. What is the fair price for this portfoilio. Why?
What is the fair price for this portfoilio : The expiration date of the options are six months from now. The risk free interest rate is 5% per annum. What is the fair price for this portfoilio. Why?
Design and apply quantitative tools in financial markets : Synthesis and evaluate findings and present same in a professional manner to a varied audience
Why a long wavenenth requires a gigantic antennas : a) Why is it that if the power system of interest is physically smaller than the wavelength, we can represent it as a lumped-parameter system b) Why a long wavenenth requires a gigantic antennas
State what would be more stable 1 and 1-dimethylcyclopropane : What would be more stable, 1,1-dimethylcyclopropane or cis-1,2-dimethylcyclopropane or trans- 1,2-dimethylcyclopropane

Reviews

Write a Review

Finance Basics Questions & Answers

  Explain covariance and correlation and standard deviation

Explain Covariance and correlation and standard deviation Describe what the portfolio variance calculations are meant to tell you as if you were asked to explain

  Semi strong form of efficient market hypothesis

How would I find the investor's profit on a short sale at $45 if covered at a price of $30 and determine the semi-strong form of the efficient market hypothesis?

  Determining subprime mortgage crisis

What are the risks which are associated with debt, and why may those risks be unacceptable to the corporation that needs money?

  Calculate total variable costs of the project

A firm is reviewing a project with labor cost of dollar 9.90 per unit, raw materials cost of $22.63 a unit, and fixed costs of dollar 8,000 a month. Sales are projected at 10,000 units over the three-month life of the project.

  Direct and indirect costs of bankruptcy

Illustrate out the direct and indirect costs of bankruptcy. In brief explain each.

  Describe dividend policy

State whether you would expect them to distribute a relatively high or low proportion of current earnings and whether you would expect them to have relatively high or low price-earnings ratio.

  Computation of payback period and npv

Computation of payback period and NPV If your esquire a payback period of two years, will you make the movie

  Compute cost of preferred stock

Hettenhouse Corporation's perpetual preferred stock sells for $102.50 per share, and it pays a $9.50 annual dividend. If the corporation were to sell a new preferred issue,

  Determine the stock with higher real rate of return

The Costaguanan stock market provided a rate of return of 95%. The inflation rate in Costaguana during the year was 80%. In the United States, in contrast, the stock market return was only 12%, but the inflation rate was only 2%.

  Computing unlevered beta

Morgan Entertainment has a levered beta of 1.20. The firm's capital structure consists of 40% debt and 60% equity-Find out Morgans's unlevered beta?

  Present values of several cash flows

Evaluate the present value of a $270 cash flow for the following combinations of discount rates and times:

  How interest rate affect equity value change

The effect of interest rate change on the market value of Financial Institution's equity is function of three things. What are they and how do the affect the equity value change?

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