MA373 S10 Quiz 7 Solutions

MA373 S10 Quiz 7 Solutions - QUIZ 7 Math 373 Spring 2010 1....

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Unformatted text preview: QUIZ 7 Math 373 Spring 2010 1. You purchase a 90 day call with a strike price of 50. The premium for the call is 4.00. The 90 risk free interest rate is 3%. Complete the following table. MAWD) sea-r- 52) 40.05;; ,Wygmf ‘ Sp°t Pnce Future alue of FV 9489s?” at Profit Expiration l l Circle any of the following that are TRUE: The profit on a short forward is equal to the payoff. E The cost of a long forward is greater than the cost of a short put. The profit on the purchase of a zero coupon bond is zero. The payoff on the purchase of a stock is the spot price of the stock on the date it is sold. Wm QJQ 3. NIKCO stock has a current spot price of 850. You purchase the stock today and sell it is one year for 1000. The profit on this transaction is '100. Determine the annual risk free interest rate for the one year period that you owned NIKCO. 6‘?07“ “’WV’Mp ,IQQD We??? 4. You are given the following for one year options on Wang LTD stock: Strike Price 95.00 100.00 Call Premium 18.39 15.71 You are given that the current spot price of the Wang LTD stock is 100. The annual risk free interest rate is 8%. You write a short put with a strike price of 95 a. Determine the profit if the spot price of Wang LTD in one year is 92.50. g . . . 2E6; T’Qeami -9. W” 0 *2 .52) a a» (a 3508 yMHX/O) smmg , ; 171.558 W M51125?) quyyopigw Fx/Jfiflgg‘f‘ b. Determine the maximum profit that you could realize on this position. PHVDfifi-f jg gEflaj ffigfi pfidfif? $2 . c. Determine the maximum loss that you could realize on this position. a... , _ or“ if? Milt)! Log; .2? 2?: giraflf £5 " 4/6? Q ...
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This note was uploaded on 02/05/2012 for the course MA 373 taught by Professor Staff during the Spring '08 term at Purdue.

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MA373 S10 Quiz 7 Solutions - QUIZ 7 Math 373 Spring 2010 1....

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