Questions from Business Statistics

Q: What are some potential dangers posed by program trading?

What are some potential dangers posed by program trading?

Q: On December 9 of a particular year, a January Swiss franc

On December 9 of a particular year, a January Swiss franc call option with an exercise price of 46 had a price of 1.63. The January 46 put was at 0.14. The spot rate was 47.28. All prices are in cents...

Q: Suppose the current stock price is $100, the exercise price

Suppose the current stock price is $100, the exercise price is $100, the annually compounded interest rate is 5 percent, the stock pays a $1 dividend in the next instant, and the quoted call price is...

Q: Suppose the current stock price is $90, the exercise price

Suppose the current stock price is $90, the exercise price is $100, the annually compounded interest rate is 5 percent, the stock pays a $1 dividend in the next instant, and the quoted put price is $6...

Q: What would happen in the options market if the price of an

What would happen in the options market if the price of an American call were less than the value Max (0, S0 − X)? Would your answer differ if the option were European? Explain.

Q: Suppose the annually compounded risk-free rate is 5 percent for

Suppose the annually compounded risk-free rate is 5 percent for all maturities. A no dividend-paying common stock is trading at $100. Suppose you are considering a European call option with a strike p...

Q: A non-dividend-paying common stock is trading at $

A non-dividend-paying common stock is trading at $100. Suppose you are considering a European put option with a strike price of $110 and one year to expiration. What is the annually compounded risk-fr...

Q: Suppose a European put has an exercise price of $110 on

Suppose a European put has an exercise price of $110 on February 5. The put expires in 45 days. Suppose the appropriate discount rate on Treasury bills maturing in 44 days is 7.615. What is the maximu...

Q: Derive the profit equations for a pit bull spread. Determine the

Derive the profit equations for a pit bull spread. Determine the maximum and minimum profits and the breakeven stock price at expiration.

Q: Suppose an American put is trading for $16.50 and

Suppose an American put is trading for $16.50 and an American call is trading for $15, where both options have identical terms. The underlying stock price is $99, and the exercise price is $100. The a...