12. Suppose a European put has a strike price of $50 on July 5. The put expires in 30 days. Suppose the yield of T-bill maturing in 29 days is 4.6% and the yield of T-bill maturing in 36 days is 10.6%. What is the maximum value of the European put? Please type your answer in the box below and round it up to two decimals.
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12.
Suppose a European put has a strike price of $50 on July 5. The put expires in 30 days. Suppose the yield of T-bill maturing in 29 days is 4.6% and the yield of T-bill maturing in 36 days is 10.6%. What is the maximum value of the European put? Please type your answer in the box below and round it up to two decimals.
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- On the London Metals Exchange, the price for copper to be delivered in one year is $5,820 a ton. (Note: Payment is made when the copper is delivered.) The risk-free interest rate is 2.00% and the expected market return is 8%. a. Suppose that you expect to produce and sell 10,000 tons of copper next year. What is the PV of this output? Assume that the sale occurs at the end of the year. (Do not round intermediate calculations. Enter your answer in millions rounded to 2 decimal places.) b-1. If copper has a beta of 1.28, what is the expected price of copper at the end of the year? (Do not round intermediate calculations. Round your answer to 2 decimal places.) b-2. Assume copper has a beta of 1.28. What is the certainty-equivalent end-of-year price?12. Let the current spot rate be 1.21 Sf/$. Let the exercise price be 1.20 $/€. Let the volatility of the swiss franc be 0.26. The time to expiration is 3 months. The US rate is 2% and the swiss rate is 4%.18. What is the delta of the call?19. What is the value of the call?20. What is its time value?21. What is the value of the corresponding put?Gold currently costs $1,712 per ounce. The yield on T-bills is 0.9%. What should be the futures price for an ounce of Gold to be delivered in 9 months?
- The British pound (£) is currently worth 1.45 euros (€). This can either increase by u = 1.1 or decrease by d = 0.9 over each 4 months. Consider a European call option with a strike price of K = 1€ per £ and time-to-maturity T = 8 months. The continuously compounded risk-free rate in Britain is 4% per annum and in Europe is 10% per annum. What is the price of the European call option today? Please explain your answer using your own words and show your workings. In addition, if the option was American-style would the risk-neutral probability of an up-move be smaller than, equal to or greater than the one you have calculated? Explain why using your own words.The British pound (£) is currently worth 1.45 euros (€). This can either increase by u = 1.1 or decrease by d = 0.9 over each 4 months. Consider a European call option with a strike price of K = 1€ per £ and time-to-maturity T = 8 months. The continuously compounded risk-free rate in Britain is 4% per annum and in Europe is 10% per annum. What is the price of the European call option today? Please explain your answer using your own words and show your workings. In addition, if the option was American-style would the risk-neutral probability of an up-move be smaller than, equal to or greater than the one you have calculated?The spot price of the market index is $900. After 3 months the market index is priced at $920. The annual rate of interest on treasuries is 4.8% (0.4% per month). The premium on the long put, with an exercise price of $930, is $8.00. Draw the payoff graph for the long put position at expiration. Include strike price, breakeven price, and max loss
- The spot price of the market index is $900. After 3 months the market index is priced at $920. The annual rate of interest on treasuries is 4.8%(0.4% per month).The premium on the long put, with an exercise price of $930, is $8.00. Draw the payoff graph for the long put position at expiration.Include strike price,breakeven price, and max loss.Suppose that the return on a U.K. treasury bill is eight percent annum and the return on a U.S. treasury bill is eight percent annum and that you had $1,000,000 earmarked for short term investment for a period of a month. In which of the securities would you place your money? (Assume you are not a speculator). Show your calculations. 1 British pound (spot) $1.7748 1 British pound (30-day futures) $1.7776Consider a two-period binomial tree model with u = 1.05 and d = 0.90. Suppose the current price of the stock is $100 and the nominal interest rate is 2%. What is the value of an American put with a strike price of $95 that will expire in 146 days?
- Assume the spot Swiss franc is $0.7000 and the six-month forward rate is $0.6950. What is the minimum price that a six-month American call option with a striking price of $0.6800 should sell for in a rational market? Assume the annualized six-month Eurodollar rate is 3.5 percent. (Do not round intermediate calculations.)D3). On January 20 2021 index is at 800 units. The variance of the index returns is 10% while the risk free interest rate is 2% annually (with compound interest). By using the Black Scholes model, calculate the market purchase rights in the index with exercising price 820 and maturity 1 month (30 days). N (d1) = 0.418 and N(d2) = 0.383. Calculate and choose one of the following: a. 17.1 b. 13.1 c. 21.1 d. 25.1A commercial bill with a face value of $50 000 has a current price of $49,291. This bill is trading at a yield of 7.5% which necessarily implies a time to maturity of how many days? (Just give the number) The answer here is 70 days, can you show me a complete solution on how to get it? Thank you so much in advance.