Questions from Business Statistics

Q: Construct a table containing the up and down factors for a one

Construct a table containing the up and down factors for a one-year option with a stock volatility of 55 percent and a risk-free rate of 7 percent for n 1, 5, 10, 50, and 100, where n is the number of...

Q: A swap dealer quotes that the rate on a plain vanilla swap

A swap dealer quotes that the rate on a plain vanilla swap, for it to pay fixed, is the five-year Treasury rate plus 10. To receive fixed, the dealer quotes the rate as the five-year Treasury rate plu...

Q: Repeat the last problem using the approximation for an at-the

Repeat the last problem using the approximation for an at-the-money call. Compare your answer with the one you obtained in problem 13. Is the approximation a good one? Why or why not?

Q: Examine the following pairs of calls, which differ only by exercise

Examine the following pairs of calls, which differ only by exercise price. Determine whether either of them violates the rules regarding relationships between American options that differ only by exer...

Q: Examine the following pairs of puts, which differ only by exercise

Examine the following pairs of puts, which differ only by exercise price. Determine whether either of them violates the rules regarding relationships between American options that differ only by exerc...

Q: Suppose there is a commodity in which the expected future spot price

Suppose there is a commodity in which the expected future spot price is $60. To induce investors to buy futures contracts, a risk premium of $4 is required. To store the commodity for the life of the...

Q: Complete the following table with the correct formula related to various spread

Complete the following table with the correct formula related to various spread strategies.

Q: Complete the following table with the correct formula related to various spread

Complete the following table with the correct formula related to various spread strategies.

Q: On March 16, the June Treasury bond futures contract was priced

On March 16, the June Treasury bond futures contract was priced at 100 17/32 and the September contract was at 99 17/32. Determine the implied repo rate on the spread. Assume that the cheapest bond to...

Q: Consider a $30 million notional amount interest rate swap with a

Consider a $30 million notional amount interest rate swap with a fixed rate of 7 percent, paid quarterly on the basis of 90 days in the quarter and 360 days in the year. The first floating payment is...