6. Suppose XYZ is a non-dividend-paying stock. Suppose S = $100, = 40%, = 0,...

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6. Suppose XYZ is a non-dividend-paying stock. Suppose S = $100, σ = 40%, δ = 0, and r = 0.06.

a. What is the price of a 105-strike call option with 1 year to expiration?

b. What is the 1-year forward price for the stock?

c. What is the price of a 1-year 105-strike option, where the underlying asset is a futures contract maturing at the same time as the option?

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Derivatives Markets Pearson New International Edition

ISBN: 978-1292021256

3rd Edition

Authors: Robert L. Mcdonald

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Question Posted: Jul 22, 2024 07:02 AM

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6. Suppose XYZ is a non-dividend-paying stock. Suppose S = $100, = 40%, = 0,...

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Derivatives Markets Pearson New International Edition

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