Assignment:
Q1. a. What are the factors that affect the price of an American option?
b. How does each factor impact the price of an American option?
Q2. What is the delta, theta, and vega of an option?
Q3. Given the information below, explain how index arbitrage is possible?
Index = 1150
Index Futures = 1150
Risk free rate = 0.5%
Days to expiration = 30
Dividends = 2% annualized
Assume at expiration the index is unchanged.
Your answer must be, typed, double-spaced, Times New Roman font (size 12), one-inch margins on all sides, APA format and also include references.