Questions from Business Statistics

Q: Explain the difference between a call option on yen and a

Explain the difference between a call option on yen and a call option on yen futures.

Q: A futures price is currently 60 and its volatility is 30%.

A futures price is currently 60 and its volatility is 30%. The risk-free interest rate is 8% per annum. Use a two-step binomial tree to calculate the value of a six-month European call option on the f...

Q: Suppose that the principal assigned to the senior, mezzanine, and

Suppose that the principal assigned to the senior, mezzanine, and equity tranches is 70%, 20%, and 10% for both the ABS and the ABS CDO in Figure 8.3. What difference does this make to Table 8.1?

Q: A futures price is currently 25, its volatility is 30%

A futures price is currently 25, its volatility is 30% per annum, and the risk-free interest rate is 10% per annum. What is the value of a nine-month European call on the futures with a strike price o...

Q: A futures price is currently 70, its volatility is 20%

A futures price is currently 70, its volatility is 20% per annum, and the risk-free interest rate is 6% per annum. What is the value of a five-month European put on the futures with a strike price of...

Q: Suppose that a one-year futures price is currently 35.

Suppose that a one-year futures price is currently 35. A one-year European call option and a one-year European put option on the futures with a strike price of 34 are both priced at 2 in the market. T...

Q: Show that, if C is the price of an American call

Show that, if C is the price of an American call option on a futures contract when the strike price is K and the maturity is T, and P is the price of an American put on the same futures contract with...

Q: A corporation knows that in three months it will have $5

A corporation knows that in three months it will have $5 million to invest for 90 days at LIBOR minus 50 basis points and wishes to ensure that the rate obtained will be at least 6.5%. What position i...

Q: Consider an American futures call option where the futures contract and the

Consider an American futures call option where the futures contract and the option contract expire at the same time. Under what circumstances is the futures option worth more than the corresponding Am...

Q: Calculate the value of a five-month European futures put option

Calculate the value of a five-month European futures put option when the futures price is $19, the strike price is $20, the risk-free interest rate is 12% per annum, and the volatility of the futures...