What is the lower bound of a European call option on a futures contract where f0 is the futures price and X is the exercise price? Assume f0 is greater than X. a. the difference between f0 and X b. zero c. the present value of the difference between f0 and X d. the ratio of f0 to X e. none of the above

Determine the appropriate price of a European put on a futures if the call is worth $6.55, the continuously compounded risk-free rate is 5.6 percent, the futures price is $80, the exercise price is $75, and the expiration is in three months. a. $12.56 b. $0.54 c. $11.48 d. $1.62 e. none of the above

On the basis of liquidity, the best futures contract for hedging short-term interest rates is a. Treasury bills b. the prime rate c. commercial paper d. Eurodollars e. none of the above

The transaction in which a Treasury bond futures spread is combined with a Fed funds futures transaction is called a a. Bond-bill spread b. MOB spread c. designated order turnaround d. turtle trade e. none of the above

The opportunity to lock in the invoice price and purchase the deliverable Treasury bond later is called a. bond insurance b. program trading c. the wild card d. delivery arbitrage e. none of the above