Chap08 Pbms MBF12e

# Chap08 Pbms MBF12e - Problem 8.1 Peregrine Funds - Jakarta...

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Problem 8.2 Paulo's Puts a) b) c) d) e) f) g) Assumptions Values Values Values Values Values Values Values 12,500,000 12,500,000 12,500,000 12,500,000 12,500,000 12,500,000 12,500,000 Maturity (days) 180 180 180 180 180 180 180 \$0.008000 \$0.008000 \$0.008000 \$0.008000 \$0.008000 \$0.008000 \$0.008000 \$0.000080 \$0.000080 \$0.000080 \$0.000080 \$0.000080 \$0.000080 \$0.000080 110.00 115.00 120.00 125.00 130.00 135.00 140.00 \$0.009091 \$0.008696 \$0.008333 \$0.008000 \$0.007692 \$0.007407 \$0.007143 Gross profit on option \$0.000000 \$0.000000 \$0.000000 \$0.000000 \$0.000308 \$0.000593 \$0.000857 Less premium (\$0.000080) (\$0.000080) (\$0.000080) (\$0.000080) (\$0.000080) (\$0.000080) (\$0.000080) (\$0.000080) (\$0.000080) (\$0.000080) (\$0.000080) \$0.000228 \$0.000513 \$0.000777 Net profit, total (\$1,000.00) (\$1,000.00) (\$1,000.00) (\$1,000.00) \$2,846.15 \$6,407.41 \$9,714.29 Paulo writes a put option on Japanese yen with a strike price of \$0.008000/¥ (¥125.00/\$) at a premium of 0.0080 cents per yen and with an expiration date six month from
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## This note was uploaded on 03/17/2011 for the course BUS M 432 taught by Professor Nedhill during the Winter '11 term at BYU.

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Chap08 Pbms MBF12e - Problem 8.1 Peregrine Funds - Jakarta...

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