ADMS4503-Assignment2-Sample2 - AP/ADMS4503 3.0 AP/ADMS4503...

Info iconThis preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon
AP/ADMS4503 3.0 Assignment #2 Page 1 AP/ADMS4503 3.0 Derivative Securities Winter 2010 Assignment #2 Instructions: (1) This assignment is to be done individually . You must sign and submit the standard cover page supplied as the last page of this assignment. (2) This assignment is due in the last class . (3) The work can be typed or handwritten . If it is handwritten and too difficult to read due to messiness and poor handwriting, it will receive zero credit . (4) You must show all details to receive full credit . (5) This assignment contains 5 questions and carries a total of 30 points . Question 1 (5 marks) GS stock sells at $156 and is expected to pay a $0.35 dividend in 3, 6 and 9 months. The 175-strike 1-year call option on GS costs $10.25. The risk-free rate is 4% p.a. continuously compounded. (a) What is the price of the 175-strike 1-year put option on GS? (2 marks) (b) Actually, the market put price is $24.32. Show how you should undertake this arbitrage. Show all the details.
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Image of page 2
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 12/17/2010 for the course ATKINSON adms 4503 taught by Professor Nabil during the Fall '10 term at York University.

Page1 / 4

ADMS4503-Assignment2-Sample2 - AP/ADMS4503 3.0 AP/ADMS4503...

This preview shows document pages 1 - 2. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online