Questions from Business Statistics

Q: Calculate the implied volatility of soybean futures prices from the following information

Calculate the implied volatility of soybean futures prices from the following information concerning a European put on soybean futures:

Q: Suppose you call your broker and issue instructions to sell one July

Suppose you call your broker and issue instructions to sell one July hogs contract. Describe what happens.

Q: Explain how margin accounts protect futures traders against the possibility of default

Explain how margin accounts protect futures traders against the possibility of default.

Q: The volatility of a non-dividend-paying stock whose price

The volatility of a non-dividend-paying stock whose price is $78, is 30%. The risk-free rate is 3% per annum (continuously compounded) for all maturities. Calculate values for u, d, and p when a 2-mon...

Q: A stock index is currently 1,500. Its volatility is

A stock index is currently 1,500. Its volatility is 18%. The risk-free rate is 4% per annum (continuously compounded) for all maturities and the dividend yield on the index is .5%. Calculate values fo...

Q: Explain the difference between the credit risk and the market risk in

Explain the difference between the credit risk and the market risk in a financial contract.

Q: The futures price of a commodity is $90. Use a

The futures price of a commodity is $90. Use a three-step tree to value (a) a 9-month American call option with strike price $93 and (b) a 9-month American put option with strike price $93. The volati...

Q: Explain the no-arbitrage and risk-neutral valuation approaches to

Explain the no-arbitrage and risk-neutral valuation approaches to valuing a European option using a one-step binomial tree.

Q: A call option with a strike price of $50 costs $

A call option with a strike price of $50 costs $2. A put option with a strike price of $45 costs $3. Explain how a strangle can be created from these two options. What is the pattern of profits from t...

Q: Calculate the price of a six-month European put option on

Calculate the price of a six-month European put option on the spot value of the S&P 500. The six-month forward price of the index is 1,400, the strike price is 1,450, the risk-free rate is 5%, and the...