Math 336/Econ 390 Group Project 2
Futures Hedging
Due by Thursday April 10th, 2014 11:59 pm
Assume you are holding 10,000 shares for each of the stocks and bond ETFs (Exchange Traded
Funds) in your portfolio from project #1. Assume the date today is 7/21/
Math 336/Econ 390 Homework
Section 5.2 Put-Call Parity
1. Exercise 5.5 on Page 119
2. The price of a non-dividend paying stock is $19 and the price of a three-month
European call option on the stock with a strike price of $20 is $1. The risk-free rate is
Math 336/Econ 390 Homework
Section 5.1- Option Definitions
1. An investor buys a European put on a share for $3. The stock price is $42 and the strike
price is $40. Under what circumstances does the investor make a profit? Under what
circumstances will th