Answer Questions 1 Through 6 About Insuring a Portfolio Identical

question 52

Multiple Choice

Answer questions 1 through 6 about insuring a portfolio identical to the S&P 500 worth $12,500,000 with a three-month horizon. The risk-free rate is 7 percent. 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 exercise price of 390 are available at a price of 13.125. Round off your answers to the nearest integer.
-If the insured portfolio were dynamically hedged with stock index futures,how many futures would be used? The call delta is 0.52 and the continuous risk-free rate is 5.48 percent.Each futures has a multiplier of 250 and a price of 777.30.

• A)60
• B)64
• C)30
• D)32
• E)none of the above

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Definitions:

Loosely Curved Folds

Commonly refers to a stylistic feature in art and textiles where fabric or other materials display soft, flowing, and gently bending lines, suggesting motion or a natural, relaxed demeanor.

French Gothic

Refers to the style of architecture that developed in France during the 12th to 16th centuries, characterized by its innovative use of pointed arches, ribbed vaults, and flying buttresses.

Tuscan Romanesque

An architectural style characterized by its use of Romanesque elements, such as rounded arches and symmetry, prevalent in the Tuscany region of Italy.

Florentine Duomo

The main cathedral of Florence, Italy, known for its distinctive Renaissance architecture and the iconic dome designed by Filippo Brunelleschi.