MA373 F11 Quiz 7-1

# MA373 F11 Quiz 7-1 - Determine the maximum gain and maximum...

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Math 373 Quiz 7 December 1, 2011 1. The current price of the stock of Molitor Manufacturing Company is 48. The premium for a one year call with a strike price of K is 8.00. The premium for a one year put with a strike price of K is 9.53. The annual effective risk free interest rate is 6%. Determine K.

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2. You are given the current price of the stock of Actuarial Options LLC is 80. The stock does not pay a dividend. You are given the following premiums for one year options with various strike prices: Strike Price Call Premium Put Premium 70 18.38 3.19 80 12.57 6.64 90 8.26 11.59 The annual effective risk free interest rate is 8%. You enter into a Cap on Actuarial Options.
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Unformatted text preview: Determine the maximum gain and maximum loss (negative gain) that you can have on this transaction. 3. You are given the current price of the stock of Actuarial Options LLC is 80. The stock does not pay a dividend. You are given the following premiums for one year options with various strike prices: Strike Price Call Premium Put Premium 70 18.38 3.19 80 12.57 6.64 90 8.26 11.59 The annual effective risk free interest rate is 8%. You purchase a straddle on the stock of Actuarial Options. Determine the payoff and profit on the straddle if the spot price of the stock is 100 at the end of one year....
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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 F11 Quiz 7-1 - Determine the maximum gain and maximum...

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