MA 373 F10 Quiz 7

MA 373 F10 Quiz 7 - The annual effective risk free interest...

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Quiz 7 Math 373 December 1, 2010 1. The current price of Pace Industries is S 0 . You enter into a synthetic forward by buying a call and selling a put. The put and call both have a strike price of 100 and an expiration date in one year. The net premium paid at time 0 to enter into this position is 4. Calculate S 0 if the annual effective risk free interest rate is 8%.
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2. Stock for Sajali Steel Company has a current spot price of 50. The price of a 50 strike one year call is 4.00 and the price of a 50 strike one year put is 1.62.
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Unformatted text preview: The annual effective risk free interest rate is 5%. You enter into a Floor on Sajali Steel. Calculate the payoff and profit is the Spot Price in one year is 70. 3. You enter into a Bull Spread by buying a buying a 40 strike one year call at a price of 10 and selling a 60 strike one year call at a price of 2. The annual effective risk free interest rate is 5%. Calculate the maximum profit and maximum loss that is possible from this Bull Spread at the end of one year....
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MA 373 F10 Quiz 7 - The annual effective risk free interest...

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