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Consider the stock XYZ, which pays no dividends. It is currently trading at $15.025 per share....

  1. Consider the stock XYZ, which pays no dividends. It is currently trading at $15.025 per share. The following questions refer to options and futures on this stock that expire on 9/24/2020. You may assume that this is exactly 6 months or .5 years from now in calculations.


a. Zero-coupon T-bills expiring on 9/24/2020 are currently selling for 98.5222. What is the risk-free spot interest rate?

b. What is the futures price of XYZ?

c. You want to mimic the payoff of a short future with a contract price of $16/share. How can you do this using only puts and calls? You may assume any strike is available.

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jeff jeffy answered 2 hours ago
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