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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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?Suppose a trader opens a short position in two rice futures contracts. Each contract is for 5,000 kilograms. The initial margin is TZS 2,000,000 per contract, and the contract expires in 100 says. Suppose the future price decreases by TZS 500 per Kilogram per day for the first 10 days, then increases by TZS 750 per kilogram per day for the next 5 days. REQUIRED: Estimate the following: The initial margin to be deposited with clearing house The total gain/loss due to price decreases The total gain/loss due to price increase The balance in the trader's margin a/c after 15 daySuppose we wish to borrow $10 million for 91 days beginning next June, and that the quoted Eurodollar futures price is 93.23. What 3-month LIBOR rate is implied by this price? How much will be needed to repay the loan? Show work and discuss result.
- A 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? The correct answer here is 70 days, can you show me the complete solution through excel on how to get it? Thank you so much in advance.Consider a six-month European call option on the spot price of gold, that is, an option to buy oneounce of gold in the spot market in six months. The strike price is $1, 200, the six-month futuresprice of gold is $1, 240, the risk-free rate of interest is 5% per annum, and the volatility of thefutures price is 20%. The option is the same as a six-month European option on the six-monthfutures price. Calculate the value of this option.Consider a two-period binomial tree model with u = 1.1 and d = 0.90. Suppose the current price of the stock is $50 and the nominal interest rate is 2%. What is the value of an American put with a strike price of $60 that will expire in 3 months? Use at least four decimal places for those questions that require a numerical answer.
- 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 lossThe 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.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.)
- A 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.A speculator is considering the purchase of a 6-month Swiss franc call option on 50,000 francs with a strike price of $1.0885/SFr The premium is $0.0075/Sfr. The spot price is $1.0822/Sfr and the 60-day forward rate is $1.0880/SFr. The speculator believes the Franc will appreciate to $1.0994/Sfr over the next six months. What is the profit or loss if the franc appreciates only to the forward rate at the end of the 6 months? A. $170 B. -$235 C. $450 D -$375Doctor Dumpkins is bullish on the British pound so he sells a one-month put for $0.03. The strike price of the call is $1.24. On the expiration day, the spot price of the British pound is $1.27. Calculate the break-even price, the option payoff at expiration, and the net profit at expiration.