A single-stock futures contract on a non-dividend-paying stock with a current price of $120 has a...

A single-stock futures contract on a non-dividend-paying stock with a current price of $120 has a maturity of 1 year. If the T-bill rate is 6%, what should the futures price be?

What should the futures price be if the maturity of the contract is 6 years?

What should the futures price be if the interest rate is 9% and the maturity of the contract is 6 years?

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Consider a 2-year forward contract on a non-dividend-paying stock. The current stock price is $500. The...

Consider a 2-year forward contract on a non-dividend-paying stock. The current stock price is $500. The forward price is $520, and the risk-free interest rate is 5% per annum. Is there an arbitrage? If so, what is the arbitrage profit today? (Consider an arbitrage strategy where we long or short the forward on one share of the stock and the net cash flow in year 2 is zero)

A non – dividend – paying stock with a current price of $52, the strike price...

A non – dividend – paying stock with a current price of $52, the strike price is $50, the risk free interest rate is 12% pa, the volatility is 30% pa, and the time to maturity is 3 months? a) Calculate the price of a call option on this stock b) What is the price of a put option price on this stock? c) Is the put-call parity of these options hold? (4 + 4 + 2 = 10 marks)...

Consider a one-year futures contract for 1 share of a dividend paying stock. The current stock...

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A non-dividend paying stock has a current price of 80 and has a volatility of 20%....

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The current price of a non-dividend-paying stock is $32.59 and you expect the stock price to...

The current price of a non-dividend-paying stock is $32.59 and you expect the stock price to either go up by a factor of 1.397 or down by a factor of 0.716 over the next 0.7 years. A European put option on the stock has a strike price of $33 and expires in 0.7 years. The risk-free rate is 3% (annual, continuously compounded). Part 1. What is the option payoff if the stock price goes down? Part 2. What is the...

The current price of a non-dividend-paying stock is $266.72 and you expect the stock price to...

The current price of a non-dividend-paying stock is $266.72 and you expect the stock price to be either $293.39 or $242.47 after 0.5 years. A European call option on the stock has a strike price of $270 and expires in 0.5 years. The risk-free rate is 3% (EAR). Part 1. What is the hedge ratio (delta)? Part 2. How much money do you need to invest in riskless bonds to create a portfolio that replicates the payoff from one call...

The current price of a non-dividend-paying stock is $100 and you expect the stock price to...

The current price of a non-dividend-paying stock is $100 and you expect the stock price to be either $180 or $40 after 0.5 years. A European call option on the stock has a strike price of $121 and expires in 0.5 years. The risk-free rate is 8% (EAR). Part 1. What is the hedge ratio (delta)? Part 2. How much money do you need to borrow to create a portfolio that replicates the payoff from one call option? Part 3. What...

Question 1 A non – dividend – paying stock with a current price of £52, the...

Question 1 A non – dividend – paying stock with a current price of £52, the strike price is £50, the volatility is 30% pa, the risk free interest rate is 12% pa, and the time to maturity is 3 months? b) Calculate the price of a put option price on this stock? b) Calculate the price of a call option on this stock c) Is the put-call parity of these options hold? If possible, please provide a detailed...

Question 8 A non – dividend – paying stock with a current price of £104, the...

Question 8 A non – dividend – paying stock with a current price of £104, the strike price is £100, the volatility is 30% pa, the risk-free interest rate is 12% pa, and the time to maturity is 3 months? a) Calculate the price of a call option on this stock? b) Calculate the price of a put option price on this stock? c) Is the put-call parity of these options hold? If possible, please provide a detailed step by...

Consider an option on a non-dividend-paying stock that follows a GBM. The current stock price is...

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