Question
From the following information March 31 of a particular year for a group of JUNE 350 options on futures contracts to answer the following. Futures
- From the following information March 31 of a particular year for a group of JUNE 350 options on futures contracts to answer the following. Futures price: 350.20 Expiration: June20 Risk-free rate: 0.0384 percent Call price: 7.65 Put price: 4.50
a. Determine the intrinsic value of the call. Show work and briefly discuss.
b. Determine the time value of the call. Show work and briefly discuss.
c. Determine the lower bound of the call. Show work and briefly discuss.
d. Determine the intrinsic value of the put. Show work and briefly discuss.
e. Determine the time value of the put. Show work and briefly discuss.
f. Determine the lower bound of the put. Show work and briefly discuss.
g. Determine whether putcall parity holds. Why? Show work and briefly discuss.
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The Handbook Of Portfolio Mathematics
Authors: Vince
1st Edition
0471757683, 978-0471757689
