Suppose XYZ is a non-dividend-paying stock. Suppose S = $100, = 40%, = 0, and

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Suppose XYZ is a non-dividend-paying stock. Suppose S = $100, σ = 40%, δ = 0, and r = 0.06.

a. What is the price of a 105-strike call option with 1 year to expiration?

b. What is the 1-year forward price for the stock?

c. What is the price of a 1-year 105-strike option, where the underlying asset is a futures contract maturing at the same time as the option?

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Derivatives Markets

ISBN: 9789332536746

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Authors: Robert McDonald

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Question Posted: Aug 12, 2015 02:41 AM

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Suppose XYZ is a non-dividend-paying stock. Suppose S = $100, = 40%, = 0, and

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a Using the BlackScholes formula we find a callpric...View the full answer

Derivatives Markets

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