Question

ou have the following information about forward and options contracts on the same stock. All derivatives...

ou have the following information about forward and options contracts on the same stock. All derivatives have one-year maturity. Risk-free rate is 10%. S0 = $45.25, F0,1 = $50, CK=45 = $7.70, CK=45 = $5.40, PK=45 = $3.20, and PK=50 = $5.40.

What is the payoff if you hedge a long position of the stock with a forward contract if the stock price at maturity is $47?

Homework Answers

Answer #1

The solution has been done step by step and precisely also.

Know the answer?
Your Answer:

Post as a guest

Your Name:

What's your source?

Earn Coins

Coins can be redeemed for fabulous gifts.

Not the answer you're looking for?
Ask your own homework help question
Similar Questions
You have the following information about forward and options contracts on the same stock. All derivatives...
You have the following information about forward and options contracts on the same stock. All derivatives have one-year maturity. Risk-free rate is 10%. S0 = $45.25, F0,1 = $50, CK=45 = $7.70, CK=45 = $5.40, PK=45 = $3.20, and PK=50 = $5.40. What is the profit if you hedge a short position of the stock with a forward contract if the stock price at maturity is $47? Group of answer choices
You have the following information about forward and options contracts on the same stock. All derivatives...
You have the following information about forward and options contracts on the same stock. All derivatives have one-year maturity. Risk-free rate is 10%. S0 = $45.25, F0,1 = %50, CK=45 = $7.70, CK=45 = $5.40, PK=45 = $3.20, and PK=50 = $5.40. What is the profit if you hedge a short position of the stock with a 45-50 collar if the stock price at maturity is $47?
For a stock with price 40, you have the following portfolio of barrier options, all expiring...
For a stock with price 40, you have the following portfolio of barrier options, all expiring in 3 months: (i) An up-and-in call, barrier 45, exercise price 40. (ii) An up-and-in call, barrier 50, exercise price 40. (iii) An up-and-out call, barrier 45, exercise price 40. (iv) An down-and-in call, barrier 35, exercise price 45. (v) An down-and-in put, barrier 35, exercise price 40. (vi) A down deferred rebate, barrier 32, payoff 5. During the 3 month period, the minimum...
The following prices are available for call and put options on a stock priced at $50....
The following prices are available for call and put options on a stock priced at $50. The risk-free rate is 6 percent and the volatility is 0.35. The March options have 90 days remaining and the June options have 180 days remaining. The Black-Scholes model was used to obtain the prices. Calls Puts Strike March June March June 45 6.84 8.41 1.18 2.09 50 3.82 5.58 3.08 4.13 55 1.89 3.54 6.08 6.93 . Use the June/March 50 call spread....
The following prices are available for call and put options on a stock priced at $50....
The following prices are available for call and put options on a stock priced at $50. The risk-free rate is 6 percent and the volatility is 0.35. The March options have 90 days remaining and the June options have 180 days remaining. Strike March (calls) June (calls) March (puts) June (puts) 45 6.84 8.41 1.18 2.09 50 3.82 5.58 3.08 4.13 55 1.89 3.54 6.08 6.93 Use this information to answer the following questions. Assume that each transaction consists of...
The following prices are available for call and put options on a stock priced at $50....
The following prices are available for call and put options on a stock priced at $50. The risk-free rate is 6 percent and the volatility is 0.35. The March options have 90 days remaining and the June options have 180 days remaining. Calls Puts Strike March June March June 45 6.84 8.41 1.18 2.09 50 3.82 5.58 3.08 4.13 55 1.89 3.54 6.08 6.93 Use this information to answer the following questions. Assume that each transaction consists of one contract...