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Derivative A has the following Greeks today: ?A = 0, νA = 0.3 and ΓA = 1.1.
Derivative B has the following Greeks today: ?B = 0, νB = 0.4 and ΓB = 2.
You write a derivative X with the following Greeks today: ?X = 300, νX = 120 and ΓX = 48.
All three derivatives are for the same underlying asset.
What position should you take in the underlying asset, derivative A, and derivative B to be delta- gamma-, and vega-neutral today?
Adam borrows $10,000 at an annual effective interest rate of 4% and agrees to repay it with installments at the end of each year for 30 years. The first 15 payments are each 2R, and the last 15 payments are each R. However, X is determined so that th..
Richie Powers is the owner of American Eagle Boats, a manufacturer of custom pleasure boats. Because of the economic recession and slow boat sales recently, American Eagle has begun accepting promissory notes from its dealers to help finance large or..
Trevor Price bought 10-year bonds issued by Harvest Foods five years ago for $975.28. The bonds make semiannual coupon payments at a rate of 8.4 percent. If the current price of the bonds is $1,093.03, what is the yield that Trevor would earn by sell..
You own 12 put option price contracts on stock. You paid an option premium of $1.12 for a strike price of $47.50. On the option expiration date, the stock was selling for $46.30 a share. What is your percentage return?
Why should a firm invest its idle cash? How to invest the idle cash and what's credit management? What's the optimal credit policy?
Janet Jones sold the assets and liabilities of her coin-operated laundry to Kevin Katz for $10,000. The assets of the business included all of the washers and dryers. After Katz failed to make an installment payment when it was due, Dryer Company sue..
A one-year project has a 94% chance of leading to a gain of $1 million (or loss of -$1 million), a 2.5% chance of a loss of $6 million, and a 2.5% chance of a loss of $10 million, and a 1% chance of a loss of $20 million. What is the VaR with a 95% c..
How much must the price of a stock fall on the ex-dividend date in order to prevent a corporate holder from making arbitrage profits?
A project has an initial cost of $41,100.00, expected net cash inflows of $9,500.00 per year for 8 years, and a cost of capital of 12.25%. What is the project's payback period?
The following data regarding the market value and the costs of specific sources of capital. Source of Capital After tax cost Long term debt 8% Common stock equity 19% Market price per share of your common stock is $50 Market value of your long-term d..
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Goniff Steel has $24,000 in assets, consisting of $1,000,000 of temporary current assets, $2,000,000 of permanent current assets, and $1,200,000 of fixed assets. Short-term interest rates are 8% and long-term interest rates are 12%. If long-term fina..
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