FREE Trial
Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

The futures price of a commodity is $45. The volatility of the futures price is 14% and the continuously compounded risk free rate is 3%

The futures price of a commodity is $45. The volatility of the futures price is 14% and the continuously compounded risk free rate is 3% for all maturities. An American put option on the futures contract has strike price of $45 and a time to expiration of 6 months.

a. $1.5625

b. $1.5508

c. $0.0

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Technical Analysis Of Stock Trends

Technical Analysis Of Stock Trends

Authors: Robert D. Edwards, John Magee, W.H.C. Bassetti

9th Edition

0814408648, 978-0814408643

More Books

Students also viewed these Finance questions

Question

★★★★★
Giddens Company adopted the dollar- value LIFO inventory method on December 31, Year 1. On December 31, Year 1, Giddens inventory was in a single inventory pool and was valued at $ 400,000 under the...

Answered: 1 week ago

Question

★★★★★
=+30. Determined the amount of supplies on hand at the end of June, $425. Cody has asked you several questions concerning his financial affairs to date, and he has asked you to assist with his record...

Answered: 1 week ago

Question

★★★★★
1.21 Refer to Exercise 1.20. a. Draw a dotplot to describe the data. b. How could you define the stem and the leaf for this data set? c. Draw the stem and leaf plot using your decision from part b....

Answered: 1 week ago

Question

★★★★★
In a multiple regression with four explanatory variables and 100 observations, it is found that SSR = 4.75 and SST = 7.62. a. Calculate the standard error of the estimate. b. Calculate the...

Answered: 1 week ago

Question

★★★★★
Company X had the following information before adjustments: - Accounts receivable $230,000 (debit balance) - Allowance for doubtful accounts $3400 (credit balance) - Sales revenue (on credit)...

Answered: 1 week ago

Question

★★★★★
how to test weak form, semi-strong form and strong form of Efficient Market Hypothesis (EMH)? Please explain and give 3 examples

Answered: 1 week ago

Question

★★★★★
In order to better keep track of their inventory levels, "Leaps and Bounds" has also just switched from an inventory monitoring system that updates every quarter, to one that updates every week. This...

Answered: 1 week ago

Question

★★★★★
A trader has an existing position of 100 shares of AAPL stock at $275. She decides to purchase a 260 put option for $17 and sell a 290 strike call option for $16. Synthetically, this is equivalent to...

Answered: 1 week ago

Question

★★★★★
During the past five years, KwonCo.'s stock earned annual returns of 7 percent, 13 percent, 19 percent, 8 percent, and 15 percent. Suppose the average inflation rate over this time period was 2.6...

Answered: 1 week ago

Question

★★★★★
Zach has worked in the pizza business for ten years. He is tired of working for others and now wishes to start his own pizza restaurant. Zach created a corporation called Zach's Pizza. Wanting to...

Answered: 1 week ago

Question

★★★★★
1.When a bank customer deposits $1,000 into her checking and $1,000 into her savings and there is a reserve requirement ratio of 5%, how is this recorded in the bank's balance sheets? Group of answer...

Answered: 1 week ago

Question

★★★★★
Identify the characteristics of people with low and high selfesteem.

Answered: 1 week ago

Question

★★★★★
1. During the next week, study the listening habits of students in another class in which you are enrolled. Keep a journal of your observations by identifying the nonverbal behaviors you witness. Are...

Answered: 1 week ago

Question

★★★★★
3. Many times, we take the conversation away from others and make it our own. This practice not only wastes time, but is a major relationship killer. Here is how it works: At the beginning of the...

Answered: 1 week ago

Previous Question Next Question