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SOALAN 1 Given that the current price of XYZ stock is RM40. At the end of the next period, the price is expected to be
SOALAN 1 Given that the current price of XYZ stock is RM40. At the end of the next period, the price is expected to be either Sou or so.d. Assume that these prices do not contain any arbitrage opportunities and the interest rate is zero. If a European call option with strike price RM50 is priced at RM10 while a European call option with strike price RM40 is priced at RM13, answer all the following questions: Diberi nilai harga semasa bagi saham XYZ adalah RM40. Pada akhir tempoh seterusnya, nilai saham dijangka sama ada, So.u atau So.d. Harga tersebut diandaikan tidak mengandungi sebarang peluang arbitraj dan kadar faedah adalah sifar. Jika opsyen panggilan Eropah dengan harga laksana RM50 ditetapkan pada harga RM10 manakala opsyen panggilan Eropah dengan harga laksana RM40 ditetapkan pada harga RM13, jawab semua soalan berikut: a. Compute the values of Pu, u and d from the equation co = Pu(Sou-K), where K is a strike price. [6 marks] Kira nilai bagi Pu, u dan d daripada persamaan co = Pu(Sou K), dengan K adalah harga laksana. [6 markah] Compute the fair price of a European put option with a strike price of RM60. [3 marks] Kira harga adil bagi opsyen letakan Eropah dengan harga laksana RM60. [3 markah] b
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