MA 373 F11 Quiz 7 Solutions

MA 373 F11 Quiz 7 Solutions - Math 373 Quiz 7 December 1...

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Unformatted text preview: Math 373 Quiz 7 December 1, 2011 l. The current price of the stock of Moiitor 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%. DetermineK. p... K W g m is :3» M T” D H, C» P W, . 2 ”5 2. (Z; 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: I Strike Price i Call Premium l Put Premium 70 18.38 3.19 80 12.57 6.64 | 90 l 8.26 ‘ The annual effective risk free interest rate is 8%. You enter into )iCap fin Actuarial Options. Determine the maximum gain and maximum loss (negative gain) that? can have on this transaction. g? LL... git/gag mgkmgiw Q. Paw QM? auti‘ffi’m} 6V 3. You are given the current price of the stock of Actuarial Options LLC is 80. The stock does not )QQ pay a dividend. You are given the following premiums for one year options with various strike prices: Strike Price | Call Premium I 18.38 12.57 The annual effective risk free interest rate is 8%. You purchase a straddle on the stock of Actuarial Options. Put Premium 3.19 l Determine the payoff and profit on the straddle if the spot price of the stock is 100 at the end of one year. gm} QWEW w «W étrke sew/J74: (1:? if? l” ‘W 59 M03 2.... Y <9 2N0 2”ng a§2% ‘ " t» [9 5x393 . ‘5' W. Amy-«Wm ”7)"? 010 i TDWQW (a {fwd “—071: ”l‘ ...
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