Question
Consider a principle-protected note involving a $1000 principal-value zero-coupon bond with an implied continuously-compounded interest rate of 5%. One component of the position is a
Consider a principle-protected note involving a $1000 principal-value zero-coupon bond with an implied continuously-compounded interest rate of 5%. One component of the position is a call option with a strike price of $40, which was acquired when the stock was selling at $38 per share. If at expiration the stock is selling for $37, what is the gain from this position in dollars?
| a. | $49 | |
| b. | $300 | |
| c. | $50 | |
| d. | $0 | |
| e. | $251 |
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Intermediate Financial Management
Authors: Eugene F Brigham, Phillip R Daves
9th Edition
032431986X, 9780324319866
