Quiz 5 (covering material from Seminars and Workshops 9 & 10)_ Attempt review.pdf

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21/06/2020Quiz 5 (covering material from Seminars and Workshops 9 & 10): Attempt review1/5Dashboard/My units/ BFC5915 - Options, futures and risk management - S1 2020 & FF/ Quizzes/ Quiz 5 (covering material from Seminars and Workshops 9 & 10)BFC5915 - Options, futures and risk management - S1 2020 andFlexibleQuestion $20 and the six-month risk-free rate is 5% (pa). What is the six-month futures price of the asset if there are noarbitrage opportunities? (Use put-call parity.)1CorrectMark 1.00 out of1.00Question of 6% per annum for a six-month period on a principal of $1,000 starting in two years? All rates arecompounded semiannually.2CorrectMark 1.00 out of1.00Started onMonday, 15 June 2020, 10:07 AMStateFinishedCompleted onMonday, 15 June 2020, 10:32 AMTime taken24 mins 48 secsGrade10.00out of 11.00 (91%)Print friendly formatSix-month European call and put options on an asset are worth $4 and $3 respectively when the strike price is$20 and the six-month risk-free rate is 5% (pa). What is the six-month futures price of the asset if there are noarbitrage opportunities? (Use put-call parity.)Select one:$20.45$21.03 $19.02$20.98Your answer is correct.Put call parity isc+ Ke=p+ FeHenceF =K+(c-p)e=20+(4-3)e= $21.03The correct answer is: $21.03-rT0-rT0rT0.05×0.5
The yield curve is flat at 4% per annum. What is the value of an FRA where the holder receives interest at the rateof 6% per annum for a six-month period on a principal of $1,000 starting in two years? All rates arecompounded semiannually.
21/06/2020Quiz 5 (covering material from Seminars and Workshops 9 & 10): Attempt review2/5Question 3CorrectMark 1.00 out of1.00Question 4CorrectMark 1.00 out of1.00Question CorrectMark 1.00 out of1.005
Which of the following statements about forward rates is true?

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