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Options

Delta, theta , gamma of call option, delta neutrality

1. Given the following information is given to you: T= 100 days, r = 5%, S = $45, and standard deviation = 0.26, calculate the delta of a $45 Call. How do you interpret this delta? 2. Consider a European call with the following details: Stock price = $17.50 Strike price = $17.00 r = 0.08 Variance

The value of MotoGoto stock is $32 per share.

The value of MotoGoto stock is $32 per share. Call options with one year to expiration and a strike price of $30 have a value of $4. If the risk free rate of interest is 5%, what is the value of a put option with the same strike price and maturity? a. $0.20 b. $0.57 c. $2.00 d. $2.20 e. cannot be determined

Put-Call Parity

A European put option on St. Paul Insurance (SPC) with a strike price of $40 and 1 year to expiration is trading at a price of $2. A European call option on SPC with a strike price of 40 and 1 year to expiration is trading at a price of $15. The risk-free interest rate is 5.129329% per year, compounded continuously (the present

What are the break even points for the buyer of the call option and for the buyer of the put option? Given this information, what would be your gain if you use $1,000,000 and excute locational arbitrage. What is the approximate five-year forecast of the peso's spot rate if the five-year forward rate is used as a forecast? From the perspective of US invetors with $1,000,000, what would be rate of return under covered interest arbitrage?

1) The premium on a pound call and put option is $.03 per unit. The exercise priceis $1.60. What are the break even points for the buyer of the call option and for the buyer of the put option? (Assume zero tranasactions cost and that the buyer and seller of the put option are speculators). 2) Assume the bid rate of a new Ze

Cerberus/Chrysler: For or Against

I could use some help: I need to write a paper that states if one should be for or against the Cerberus/Chrysler merger. Within the paper, it should focus on the following: a. Shareholders value b. Market share c. Financial impact I have added some articles for reference.

Suppose you own a stock that is currently trading for $65.

P.311 22. Suppose you own a stock that is currently trading for $65. You purchase it for $60. You would like to wait a while before you sell it because you think there is a good chance the stock will increase further. a. How can you structure a transaction that will insure that you can sell the stock for $65, even if it fa

Multiple choice questions on options: Insuring a portfolio identical to the S&P 500, call options, t bills, dynamic hedging, call delta, cash-or-nothing options, contingent-pay option, lookback call option, path-independent option, weather derivative payoffs

1. Answer questions 1-4 about insuring a portfolio identical to the S&P 500 worth $12,500,000 with a 3-month horizon. The risk-free rate is 7%. Three-month t-bills are available at a price of $98.64 per $100 face value. The S&P 500 is at 385. Puts with an exercise price of 390 are available at a price of 13. Calls with an exerc

Valuation of Common Stocks Problem

The Digital Growth Corp. Pays no cash dividends currently and is not expected to for the next 5 years. Its latest EPS was $10, all of which was reinvested in the company. The firm's expected ROE for the next 5 years is 20% per year, and during this time it is expected to continue to reinvest all of its earnings. Afterward, th

Valuation of Common Stocks - Slogro Corporation

The stock of Slogro Corporation is currently selling for $10 per share. Earnings per share in the coming year are expected to be $2 per share. The company has a policy of paying out 60% of its earnings each year in divedends. The rest is retained and invested in projects that earn a 20% rate of return per year. This situatio

Currency Derivatives

1. When would a U.S. firm consider purchasing a call option in euros for hedging? 2. When would a U.S. firm consider purchasing a put option on euros for hedging?

How to calculate annual contract rate

Find attached problem 14-1a can not get past calculating bonds. QS 14-1 Bond terminology C1 Enter the letter of the description A through H that best fits each term 1 through 8. A. Records and tracks the bondholders' names. B. Is unsecured; backed only by the issuer's credit standing. C. Has varying maturity dates for amo

Lester Electronics Gap Analysis

Lester Electronics Gap Analysis Using the Gap Analysis Template, prepare a 1,400-1,750-word paper in which you complete table 1, table 2, table 3, and perform a gap analysis for Lester Electronics. Be sure to incorporate appropriate citations from your readings. NOTE: The word count does not include the tables. Review the r

Binomial Model for Valuing a Call Option

The current price of a stock is $20. In 1 year, the price will be either $26 or $16. The annual risk-free rate is 5%. Find the price of a call option on the stock that has a strike price of $21 and that expires in 1 year.

Calculating a European Call Option

Attached is a problem which requires the calculation of a European Call Option. I would appreciate your assistance in solving this problem so I can use the solution as model to help me understand all the concepts behind writing European Call Options as I am preparing to do the homework. I searched for the solution in the Lib

Hedging exchange rate exposure

How is hedging exchange rate exposure using options different from hedging using forward contracts? What does this suggest about the costs of hedging with options rather than forwards?

Hedging Transaction- MCQ

1. Which of the following is the least effective way of hedging transaction exposure in the long run? a. long-term forward contract. b. currency swap. c. parallel loan. d. money market hedge. 2. If interest rate parity exists and transactions costs are zero, the hedging of payables in euros with a forward he

Bond Terminology

Enter the letter of the description A through H that best fits each term 1 through 8. A. Records and tracks the bondholders' names. B. Is unsecured; backed only by the issuer's credit standing. C. Has varying maturity dates for amounts owed. D. Identifies rights and responsibilities of the issuer and the bondholders. E. C

Zak Squared

I am looking for guidance in providing and analysis for a hypothetical case study. I have attached some background information and have to address below. 1) Provide an analysis that specifically addresses the advantages and disadvantages of each. 2) Provide a respond to Matthew Sullivan's and Zheng Hong's proposals in term

Call and put option

4. A. Muncie Widget Inc. bought Euro call option for a strike price of $1.10 for March, 2007 paying 16.25 cents per unit. When they exercised the option, the spot price was $ 1.36. There are 62,500 units per Euro option. i. What is the break-even point for this option ? ii. Compute the total net profit/loss. What is th