ADMS4503-Assignment1-F10

ADMS4503-Assignment1-F10 - ADMS4503 3.0 AP/ADMS 4503 3.0...

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ADMS4503 3.0 Assignment #1 Page 1 AP/ADMS 4503 3.0 Derivative Securities Fall 2010 Assignment #1 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 on October 24 , 2010. (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 your work to receive full credit. (5) This assignment contains 5 questions and carries a total of 30 points . Question 1 (6 marks) AAPL spot price is $250, and is expected to pay no dividend in the foreseeable future. The risk-free rate is 3% per annum continuously compounded. (a) What is AAPL theoretical 1-year futures price? (2 marks) (b) The 1-year futures price is $256. Show that there is an arbitrage and show how to benefit from it? Show all details . (4 marks) Question 2 (6 marks) GS stock is expected to pay a dividend of $0.35 per share in 1, 4 and 7 months. The stock spot price is $150, and the risk-free rate is 3% per annum continuously
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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.

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ADMS4503-Assignment1-F10 - ADMS4503 3.0 AP/ADMS 4503 3.0...

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