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consider a riskless spread with a long position in the august 160 call and a short position in the october 160 call
a slight variation of a straddle is a strap which uses two calls and one put construct a long strap using the
a strip is a variation of a straddle involving two puts and one call construct a short strip using the august 170
1 contrast dollar return and percentage return be sure to identify which return is more useful when comparing
1 explain why a call option with zero exercise price is equivalent to the underlying stock assuming no dividends
1 why might two calls or puts alike in all respects but time to expiration have approximately the same price2
1 consider an option that expires in 68 days the bid and ask discounts on the treasury bill maturing in 67 days
1 suppose that you observe a european call option that is priced at less than the value max0 s0 - x1 r-t what
1 critique the following statement made by an options investor my call option is very deep- in-the-money i dont
1 the value max0 x1 r-t - s0 was shown to be the lowest possible value of a european put why is this value
why does the justification for exercising an american call early not hold up when considering an american putthe
compute the intrinsic values time values and lower bounds of the following puts identify any profit opportunities that
on december 9 of a particular year a january swiss franc call option with an exercise price of 46 had a price of 163the
suppose that the current stock price is 90 the exercise price is 100 the annually compounded interest rate is 5 percent
1 a major bread maker is planning to purchase wheat in the near future identify and explain the appropriate
a define the minimum variance hedge ratio and the measure of hedging effectiveness what do these two values tell
5 explain how to determine whether to buy or sell futures when hedging6 for each of the following
on june 17 of a particular year an american watch dealer decided to import 100000 swiss watches each watch costs sf225
on january 2 of a particular year an american firm decided to close out its account at a canadian bank on february 28
on january 31 a firm learns that it will have addi- tional funds available on may 31 it will use the funds to purchase
on july 1 a portfolio manager holds 1 million face value of treasury bonds the 11 14s maturing in about 29 years the
on march 1 a securities analyst recommended general cinema stock as a good purchase in the early summer the portfolio
during the first six months of the year yields on long-term government debt have fallen about 100 basis points you
you are the manager of a bond portfolio of 10 million face value of bonds worth 9448456 the portfolio has a yield of
the manager of a 20 million portfolio of do- mestic stocks with a beta of 110 would like to begin diversifying