Question
(US risk-free rate: R (US) F = 1.5% p.a. Canadian risk-free rate: R (CA) F = 2.2% p.a. All interest rates are given with continuous
(US risk-free rate: R (US) F = 1.5% p.a. Canadian risk-free rate: R (CA) F = 2.2% p.a. All interest rates are given with continuous compounding. Several question may require you to retrieve additional data from CME, CBOE or MX.)
The NASDAQ 100 index currently stands at 14753 with an annual volatility of 25% and has a dividend yield of 1.2% p.a. continuously compounded.
(a) (3 points) Calculate the price of a 7-month E-mini NASDAQ 100 index futures contract traded on the CME.
(b) (4 points) Calculate the price of a 7-month European put option on the NASDAQ 100 index with strike price of 12, 200.
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The Tribe That Discovered Trust How Trust Is Created Propagated Lost And Regained In Commercial Interactions
Authors: David Amerland
1st Edition
1844819760, 978-1844819768
