MA373 F11 Quiz 7-1

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

Info iconThis preview shows pages 1–3. Sign up to view the full content.

View Full Document Right Arrow Icon
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.
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
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.
Background image of page 2
Background image of page 3
This is the end of the preview. Sign up to access the rest of the document.

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....
View Full Document

Page1 / 3

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

This preview shows document pages 1 - 3. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online