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Bob menjual opsyen jual Eropah enam bulan, dengan harga laksana RM45 pada satu pecahan saham ABC untuk RM X. ABC kini berdagang pada RM40 dan
Bob menjual opsyen jual Eropah enam bulan, dengan harga laksana RM45 pada satu pecahan saham ABC untuk RM X. ABC kini berdagang pada RM40 dan kadar faedah berkesan tahunan ialah 9%. Dalam masa enam bulan, harga pecahan saham tersebut adalah RM37.25. Kerugian Bob dalam transaksi ini ialah RM2.53. Bob sells a six-months European put option with a strike price of RM 45 on one share of stock ABC for RMX. ABC currently trades at RM40 and the annual effoctive interest rate is 9%, in six months time the stock price is actually RM37.25. Bob's loss on this transaction is RM2.53. (a) Apakah nilai X ? What is X ? (2 markah/marks) (b) Apakah harga opsyen panggilan Eropah enam bulan. Jika tiada peluang arbitraj? What is the price of the six-months European call, if there is no arbitrage opportunity? ( 2 markah/marks) (c) Apakah penjelasan disebalik persamaan yang digunakan dalam soalan 6b? What is the reasoning behind the equation used in question 6b ? (1 markah/mark)
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