pean put option on a barrel of crude oil with a strike price of $50 and a maturity of one-month, trades for $3.0. What is the price of the call premium with identical strike price and time until expiration, if the one-month risk-free rate is 2% and the spot price of the underlying asset is $52? NAME TYPE STRIKE PRICE PRICE AT EXPIRATION DATE A PUT 100 115 B CALL 100 95 C PUT 80 70 D CALL 80 95 A. Which of the following options are in the money? B. Which of the following options are out of the money? C. What is the intrinsic value of the C option?

pean put option on a barrel of crude oil with a strike price of $50 and a maturity of one-month, trades for $3.0. What is the price of the call premium with identical strike price and time until expiration, if the one-month risk-free rate is 2% and the spot price of the underlying asset is $52? NAME TYPE STRIKE PRICE PRICE AT EXPIRATION DATE A PUT 100 115 B CALL 100 95 C PUT 80 70 D CALL 80 95 A. Which of the following options are in the money? B. Which of the following options are out of the money? C. What is the intrinsic value of the C option?

International Financial Management

14th Edition

ISBN:9780357130698

Author:Madura

Publisher:Madura

Chapter5: Currency Derivatives

Section: Chapter Questions

Problem 31QA

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Suppose a European call option on a sack of corn with a strike price of $50 and a maturity of one-month, trades for $5. What is the price of the put premium with identical strike price and time until expiration, if the one-month risk-free rate is 2% and the spot price of the underlying asset is $53?
The USDJPY spot price is 115.018 and the one month forward is 115.046. A one month expiration European style call option with a strike price of 115.046 is trading at 4¥ and a put option with the same parameters is trading at 5¥. If we purchase the call and sell the put sketch the payoff of this position at expiry over the range 114.900 to 115.140. If we were going to hedge an exposure to the Yen should we use the option position or the forward? Justify your answer.
. A European put option written on a non-dividend paying stock that is currently worth ₺100 in the stockmarket has a strike price of ₺100 and exactly five months left until its expiration date. If the continuouslycompounded annual risk-free rate is observed as 20% per year across all maturities and the put option iscurrently priced at ₺3.20 in the option market, what should be the theoretical price of a European call optionwritten on the same stock that has the same strike price and expiration date as the put option described?
Assume the spot Swiss franc is $0.7085 and the six-month forward rate is $0.7120. What is the Value of a six-month call and a put option with a strike price of $0.6885 should sell for in a rational market? Assume the annualized six-month Eurodollar rate is 3.50 percent. Assume the annualized volatility of the Swiss franc is 14.20 percent. Use the European option-pricing models to value the call and put option.
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Consider Commodity Z, which has both exchange-traded futures and option contracts associated with it. As you look in today's paper, you find the following put and call prices for options that expire exactly six months from now: Exercise Price Put Price Call Price $ 40.00 $ 0.59 $ 8.73 $ 45.00 $ 1.93 $ - $ 50.00 $ - $ 2.47 a. Assuming that the futures price of a six-month contract on Commodity Z is Fo, 0.5 = $48, what must be the price of a put with an exercise price of $50 in order to avoid arbitrage across markets? Similarly, calculate the "no arbitrage" price of a call with an exercise price of $45. In both calculations, assume that the yield curve is flat and the annual risk-free rate is 6 percent. b. What is the "no arbitrage" price differential that should exist between the put and call options having an exercise price of $40? Is this…