The following prices are available for call and put options on a stock priced at $50.The risk-free rate is 6 percent and the volatility is 0.35.The March options have 90 days remaining and the June options have 180 days remaining.The Black-Scholes model was used to obtain the prices.
Use this information to answer questions 1 through 20.Assume that each transaction consists of one contract (for 100 shares) unless otherwise indicated.
Answer questions 10 and 11 about a calendar spread based on the assumption that stock prices are expected to remain fairly constant. Use the June/March 50 call spread. Assume one contract of each.
-What will be the profit if the spread is held 90 days and the stock price is $45?
Definitions:
Q5: Suppose the buyer of the call in
Q10: DNA, after separation from other cellular constituents,
Q18: The risk of the basis is usually
Q22: A covered call writer who prefers even
Q28: What will the spread cost?<br>A) -$176<br>B) $176<br>C)
Q36: A stock index futures price is the
Q38: Which of the following is the primary
Q47: Determine the optimal hedge ratio for Treasury
Q56: Find the premium of a correctly priced
Q56: If the stock index is at 148,