This preview shows pages 1–2. Sign up to view the full content.
This preview has intentionally blurred sections. Sign up to view the full version.
View Full Document
Unformatted text preview: Derivative Strategy Name 1. A strategy consists of buying a market index product at $830 and longing a put on the index with a strike of $830. If the put premium is $18.00 and interest rates are 0.5% per month, what is the profit or loss at expiration (in 6 months) if the market index is $810? A. $20.00 gain B. $18.65 gain C. $36.29 loss D. $43.76 loss 2. A strategy consists of buying a market index product at $830 and longing a put on the index with a strike of $830. If the put premium is $18.00 and interest rates are 0.5% per month, compute the profit or loss from the long put position by itself (in 6 months) if the market index is $810. A. $3.45 gain B. $1.45 gain C. $2.80 loss D. $1.36 loss 3. A strategy consists of buying a market index product at $830 and longing a put on the index with a strike of $830. If the put premium is $18.00 and interest rates are 0.5% per month, what is the estimated price of a call option with an exercise price of $830? A. $42.47 B. $45.26 C. $47.67 D. $49.55 4. A strategy consists of longing a put on the market index with a strike of 830 and shorting...
View
Full
Document
This note was uploaded on 02/27/2012 for the course FINANCE 101 taught by Professor Yuy during the Spring '12 term at Centenary College New Jersey.
 Spring '12
 yuy
 Interest, Interest Rate

Click to edit the document details