Questions from Business Statistics

Q: Suppose that the structure in Figure 8.1 is created in

Suppose that the structure in Figure 8.1 is created in 2000 and lasts 10 years. There are no defaults on the underlying assets until the end of the eighth year when 17% of the principal is lost becaus...

Q: Calculate the intrinsic value and time value from the mid-market

Calculate the intrinsic value and time value from the mid-market (average of bid and offer) prices for the September call options in Table 1.2. Do the same for the September put options in Table 1.3....

Q: A trader writes 5 naked put option contracts with each contract being

A trader writes 5 naked put option contracts with each contract being on 100 shares. The option price is $10, the time to maturity is 6 months, and the strike price is $64. (a) What is the margin requ...

Q: ‘‘If a company does not do better than its competitors but

‘‘If a company does not do better than its competitors but the stock market goes up, executives do very well from their stock options. This makes no sense.’’ Discuss this viewpoint. Can you think of a...

Q: Use DerivaGem to calculate the value of an American put option on

Use DerivaGem to calculate the value of an American put option on a non-dividendpaying stock when the stock price is $30, the strike price is $32, the risk-free rate is 5%, the volatility is 30%, and...

Q: On July 20, 2004, Microsoft surprised the market by announcing

On July 20, 2004, Microsoft surprised the market by announcing a $3 dividend. The exdividend date was November 17, 2004, and the payment date was December 2, 2004. Its stock price at the time was abou...

Q: Calls were traded on exchanges before puts. During the period of

Calls were traded on exchanges before puts. During the period of time when calls were traded but puts were not traded, how would you create a European put option on a nondividend- paying stock synthet...

Q: The prices of European call and put options on a non-

The prices of European call and put options on a non-dividend-paying stock with an expiration date in 12 months and a strike price of $120 are $20 and $5, respectively. The current stock price is $130...

Q: A European call option and put option on a stock both have

A European call option and put option on a stock both have a strike price of $20 and an expiration date in 3 months. Both sell for $3. The risk-free interest rate is 10% per annum, the current stock p...

Q: A trader buys two July futures contracts on frozen orange juice concentrate

A trader buys two July futures contracts on frozen orange juice concentrate. Each contract is for the delivery of 15,000 pounds. The current futures price is 160 cents per pound, the initial margin is...