Unformatted text preview: created. Describe the proﬁt from the strategy as a function of the stock price at expiration S T . For what range of stock prices S T would the butterﬂy spread lead to a loss? 4. (For 846 students ONLY): [10 points] (i) Problem 5.19 in McDonald; (ii) Find current quotes for at least three diﬀerent maturities for foreign exchange futures between the US dollar and another currency. Using the risk-free rates of the corresponding two countries, comment on the behavior of the futures price as maturity increases: is this behavior consistent with what Equation (5.18)—in McDonald—suggests ? 1...
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- Spring '09
- Strike price, foreign exchange futures, stock price ST