stock of XYZ Company has a market price of $9.00. The price of the underlying stock is $36.00‚ and the strike price of the option is $30.00 per share. What is the Exercise Value of this Call Option? What is the Time Value of the Option? Problem No. 2 on Options based on Chapter 8 The Exercise (Strike) Price on ABC Company’s Option is $21.00‚ its Exercise Value is $23.00‚ and its Time Value is $7.00. What is the Market Value of the Option? What is the price of the underlying stock? Problem
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1. A company enters into a short futures contract to sell $5000. The current future price is 250 cents per pound. The initial margin is $3000 and the maintenance margin is $2000. What price change would lead to a margin call? Under what circumstances $1500 could be withdrawn from the margin account? 2. Stock is expected to pay a dividend of Tk 10 per share in 2 months and again in 5 months. The stock price is Tk 500 and risk free rate of interest is 8% p.a. with continuously compounded for all
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5. What are the principal agencies of the 2010 European Supervisory Framework‚ created in 2010 in response to the world financial crisis? 6. How does the physical delivery provision in futures markets enforce convergence of spot and futures prices on the expiration date of the contract? 7. What is the difference between term insurance and cash value life insurance? 2 Econ 252 Spring 2011 Final Exam Professor Robert Shiller PART I CONTINUES ON THE NEXT PAGE. CONTINUATION OF
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dollar borrowing rate 8.0% p.a. 90-day pound deposit rate 8.0% p.a. 90-day pound borrowing rate 14.0% p.a. Dayton’s WACC 12.0% p.a. Dayton has also collected data on two specific options as well: Strike rate Premium 90-day put option on £ $1.750/£ 1.5% 90-day put option on £ $1.710/£ 1.0% [pic] Annex A: Dayton Hedging Table Based on the exchange rates and interest rates‚ the transaction exposure hedging strategy
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simple expiry date (the date in the contract) and the predetermined strike price (the agreed price at which a particular option price can be exercised). There are two types of European option; European call options and European put options. European call options give the owner the right‚ but not the obligation‚ to buy an agreed quantity of underlying securities on a certain time (the expiration date)‚ for a specified price (the strike price). The expiration date is called the day until maturity. The seller
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product’s target market is women in their mid-thirties to mid-fifties‚ above average income‚ concerned with their health and moderately active. Product - Luxury product Price – Expensive Place - Limited and exclusive‚ few outlets per market Promotion – Targeted communication‚ stress brand stratus. “Price Sensitivity Effects”.
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help you become more familiar with pricing options‚ using a specifically designed piece of software. The pricing of options is a very technical area‚ and most of us do not have the technical expertise to price options from first principals. Therefore in your working lives‚ if you do need to price options‚ then it will most likely be done for you via software. The software we will be using is called ‘DerivaGem’‚ which has been specifically developed for the Hull et al (2014) textbook. You can download
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using it only to calculate the difference between the price of the American and the equivalent European options with the same strike and the same time to maturity. 2. Use Solver to find the implied volatilities for all put options with strike prices between $70 and $100 that are divisible by 5 and that are available for a given option chain. Save your implied volatility results in a separate worksheet along with maturity and strike price or add them to the data file. Once you have done this
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Bermudan option has exercise price X‚ a final maturity date and one early exercise date. • The payoff at the final maturity date T2 is max(ST2 − X‚ 0). • The option can be exercised early only at time T1 and the payoff at that time would be max(ST1 − X‚ 0). Using put-call parity for European options‚ show that it is never optimal to exercise this Bermudan option early. (b) Consider a Bermudan put option over an asset that pays no dividend. Suppose the Bermudan option has exercise price X and final maturity date
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Chapter 20 (Excel file included) You own a call option on Intuit stock with a strike price of $40. The option will expire in exactly 3 months’ time. a) If the stock is trading at $55 in 3 months‚ what will be the payoff of the call? b) If the stock is trading at $35 in 3 months‚ what will be the payoff of the call? c) Draw a payoff diagram showing the value of the call at expiration as a function of the stock price at expiration. Short call: value at expiration date: a. You owe $15. b. You owe
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