Answered step by step
Verified Expert Solution
Question
1 Approved Answer
Assume that we have the following derivatives portfolio: A long futures contract on stock A, with strike price 82 and a long put option contract
Assume that we have the following derivatives portfolio:
A long futures contract on stock A, with strike price 82 and a long put option contract on the same stock, with the same strike price. The option's premium is 8 and is payed today. The risk free rate of interest is 5%, and the time of expiration is 1 year.
What will be the present value profit for the above derivatives portfolio if the stock's spot price is 109 at the time of expiration.
Answer with two decimals, and use dot as a decimal separator.
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started