Given: C = $4.00, P = $6.00, S = $42, K = $45, T = 3...

Given: C = $4.00, P = $6.00, S = $42, K = $45, T = 3 months, r = 8%. The option contracts are written on 100 units of the underlying asset. (Show work.)

What would you do to exploit these quotes? (List all transactions you would make.) What would be your riskless profit?
How could you synthetically sell a call option? What would be the cash flow from doing this? (i.e., What is the synthetic call premium?)

Expert Solution

jeff jeffy answered 1 year ago

9. Given: C = $5.25, P = $2.75, S = $48, K = $39, T =...

9. Given: C = $5.25, P = $2.75, S = $48, K = $39, T = 6 months, r = 3.25% p.a. a. What would you do to exploit these quotes? (List the transactions.) What would be your riskless arbitrage profit? b. How could you synthetically short-sell an asset using only options and borrowing or lending at the risk-free rate? Would you be better off short-selling the stock, or synthetically short-selling it using options?

Assume S = $42, K = 45, div = 0, r = 0.04, sigma(volatility)= 0.48, and...

Assume S = $42, K = 45, div = 0, r = 0.04, sigma(volatility)= 0.48, and 80 days until expiration. What is the premium on a knock-out put option with a down-and-out barrier of $44? A) $2.13 B) $3.13 C) $3.47 D) $4.07 Answer: C need details of solution

Please answer in C++ Given 3 numbers T, r and s, where r != s and...

Please answer in C++ Given 3 numbers T, r and s, where r != s and r > 1 & s > 1. Print a list of numbers from 1 to T where numbers divisible by r whose decimal representation does not contain the digit r should be replaced by the number 555 and any number (int) divisible by s whose decimal representation does not contain the number s should be replaced by the number 333. Numbers for which both...

Given Y=120, TR=10, C=70, T=40, G=45. Total S (saving) = ____. Select one: A. 3 B....

Given Y=120, TR=10, C=70, T=40, G=45. Total S (saving) = ____. Select one: A. 3 B. 5 C. 7 D. 9 E. 11

EXERCISE #4: Optional: Put-Call Parity: C – P = S – PV(K), PV(K) = K /...

EXERCISE #4: Optional: Put-Call Parity: C – P = S – PV(K), PV(K) = K / (1+r) A-B. The stock is at 50. One-year interest rates are at 3%. A. A one-year call struck at 52 trades at $4. What must be the price of a one-year 52 put? $ ........................................................................... B. A one-year call struck at 50 trades at $5. What must be the price of a one-year 50 put? $ ........................................................................... C. The stock is at 51. The...

Suppose S = {p, q, r, s, t, u} and A = {p, q, s, t}...

Suppose S = {p, q, r, s, t, u} and A = {p, q, s, t} and B = {r, s, t, u} are events. x p q r s t u p(x) 0.15 0.25 0.2 0.15 0.1 (a) Determine what must be p(s). (b) Find p(A), p(B) and p(A∩B). (c) Determine whether A and B are independent. Explain. (d) Arer A and B mutually exclusive? Explain. (e) Does this table represent a probability istribution of any random variable? Explain.

Let K = { s+t * 2^(1/2), such that s, t are Rational}. Show that K...

Let K = { s+t * 2^(1/2), such that s, t are Rational}. Show that K is a Field

Given K = 3.58 at 45°C for the reaction A(g) + B(g) equilibrium reaction arrow C(g)...

Given K = 3.58 at 45°C for the reaction A(g) + B(g) equilibrium reaction arrow C(g) and K = 7.06 at 45°C for the reaction 2 A(g) + D(g) equilibrium reaction arrow C(g) what is the value of K at the same temperature for the following reaction? C(g) + D(g) equilibrium reaction arrow 2 B(g) What is the value of Kp at 45°C for the same reaction? Starting with 1.46 atm partial pressures of both C and D, what is...

Show that Cp = T(∂S/∂T)p and Cv = T(∂S/∂T)V

The rate law for the reaction below is given by Rate = k(P ). At 680°C,...

The rate law for the reaction below is given by Rate = k(P ). At 680°C, the half-life is 35.0 s. Given initial pressures of P = 0.67 atm, P = 0.75 atm, and P = 0.25 atm, how many seconds will it take for the pressure of PH to drop to 0.50 atm 4 PH (g) → P (g) + 6 H (g)

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