an investor bought a one-year forward contract with price F0(T) = 110. Six months later, at Time t = 0.5, the price of the stock is S0.5 = 115 and the interest rate is 4%. The value of the existing forward contract expiring in six months will be closest to: *
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Assume an investor bought a one-year forward contract with price F0(T) = 110. Six months later, at Time t = 0.5, the price of the stock is S0.5 = 115 and the interest rate is 4%. The value of the existing forward contract expiring in six months will be closest to: *
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- Assume that we entered into a one-year forward contract with price $300 today. Nine months later, the observed price of the stock is $350 and the interest rate is 8% per annum. The value of the existing forward contract expiring in three months will be closest to: A. 49.05. B. 55.72. C. –55.72. D. −49.05.A one-year long forward contract on a non-dividend-paying stock is entered into when the stock price is $40 and the risk-free rate of interest is 10% per annum with continuous compounding. (a) What are the forward price and the initial value of the forward contract? (b) Six months later, the price of the stock is $45 and the risk-free interest rate is still 10%. What are the forward price and the value of the forward contract?A short forward contract on ABC stock that was negotiated some time ago will expire in six months and has a delivery price of $50. ABC stock has a market price of $52 and will pay a dividend of $2 in 4 months. The risk-free interest rate with continuous compounding is 5%. What is the value of the short forward contract? a. -$1.27 b. +$1.27 c. -$3.24
- Calculate the fair delivery price for the forward contract. A forward contract to deliver 1,000 TST shares in nine month's time. TST is currently trading at $10 and is expected to pay a dividend of $0.90 in exactly five month's time. The risk-free rate of interest is 6% p.aValue of Forward Contract. Suppose you bought a forward contract on January 1 that matures six months later. The forward price was $220 at the time of purchase, and the continuously compounded interest rate was 8% per year. Three months have passed, and the spot price is now $150. What is the value of your forward contract today?Three days ago, you entered into a futures contract to sell €125,000 at $1.40 per €. Over the past three days the contract has settled at $1.32, $1.28, and $1.26. You start with $3,000. What is your total profit or loss in $ for the 3-day period?
- Suppose that you trade a forward contract today that matures after one year. The forward price is $105 and the simple interest rate is 7 percent per year. If after six months from today, the spot price is going to be $125 and the value of the forward contract is $20, the arbitrage profit that you can make today by trading one forward contract and other securities is?On March 2021, a 6-month long forward contract on a dividend-paying stock is agreed between two parties when the stock price is $30. And the risk-free rate of interest is 5% per annum with continuous compounding. The stock pays dividends of $5 on January each year .5 What is the corresponding forward price?Consider a forward contract that expires in 9 months. The underlying asset is worth $250 and the forward price is $285. Suppose we hold the long position in the forward contract. The risk free rate is 8 percent. The appropriate forward price should be: a. $270.00 b. $35.00 c. $285.00 d. $264.85
- 1. Suppose a financial asset, ABC, is the underlying asset for a futures contract with settlement of 6 months from now. You know the following about this financial asset and futures contract in the cash market ABC is selling for $80; ABC pays $8 per year in two semiannual payments of $4, and the next semiannual payment is due exactly 6 months from now; and the current 6month interest rate at which funds can be loaned or borrowed is 6%. a) Compute for the profit for the transaction? b) What is the theoretical (or equilibrium) futures price? c) What action would you take if the futures price is $837 d) What action would you take if the futures price is $76? SHOW SOLUTIONS PLEASE DONT USE MSEXCELThree months ago, you sold a put option contract on Swiss franc with a strike price of $.60/SF and an option price of $.0060 per SF. Contract size is 10,000 SF. The option expires today when the value of Swiss franc is $.625. What is your total profit or loss on your investment? A. -$310 B. -$60 C. $0 D. $60An investor has taken 50 short positions on a futures contract with a startingtime of 4 TL per contract, a continuation period of 3.00 TL for each contract and a current price of 20 TL. In addition, only 1 basis application is made for each contract. After 1 day, the contract price was 22 TL. How much funds need to be invested to cover the initial delivery?