Our Services

Get 15% Discount on your First Order

Refer to the docx Assignment-4 Fin 455 Spring 2024 Due: March 26,

March 27, 2024

Refer to the docx

Assignment-4

Fin 455

Spring 2024

Due: March 26, 2024

1. You are given the following information: (use continuous compounding).

Current stock price	$100
Strike price	$100
Annual Volatility (σ)	25%
Annual Risk-Free rate	5%
Time to maturity	3 months (0.25 years)
Time step (Δt)	1 month (1/12 years)
Up parameter (U)
Down parameter (D)	1/U

Compute the current value of a European call option.

2. A look back option is a call option that allows the holder to buy the stock at the minimum stock price that occurred over the period to expiration. Suppose, S0 = $129, U = 1.5, D = 0.5, and R = 1.1, use a 3-period binomial model and find the price of such a contract?

3. You are provided with the following information:

S0 = $129,
X = $80,
U = 1.5,
D = 0.5, and
R = 1.1

a) Compute the value of a call option using the two-period binomial model.

b) What are the hedge portfolios at
t = 1 that help price the call option at that time?

c) Suppose the model price were correct, and the call option were priced in the market at $55. Show how one can make arbitrage profits.

4. Price a call option using the one-period binomial model assuming the following data:

S0 = 129, K=80, U=1.5, D=0.5 and R=1.1. What does the replicating portfolio consist of?

5. Use the data from problem 5, compute the put price and validate the put-call parity.

image1.wmf

>Business & Finance homework help

Share This Post

Order a Similar Paper and get 15% Discount on your First Order

Related Questions

Need assistance in answering 3 questions and how you get the answer File is attached

Computer Science

Question 1: In an APA formatted one page, please conduct an internet search and find some forms of hardware malware. Determine how the piece of malware is successful, and how it was detected. Determine if you feel that hardware malware is truly a threat, or whether or not it is

Develop a Video Presentation Briefing Research crowd logistics and create,

Develop a Video Presentation Briefing Research crowd logistics and create, a 2-3 minute professional video briefly outlining what crowd logistics is and how it would work, then considering what we learned in this module about customer service, outline any issues (both good and bad) that crowdsourcing of logistics may

Informed Consent Form By the due date assigned, submit the Informed Consent Letter to the Submissions Area (please note that this is only an example and no

Informed Consent Form By the due date assigned, submit the Informed Consent Letter to the Submissions Area (please note that this is only an example and no data may be collected). Informed Consent Letter Procedure section is clear, described in detail, specific, and all inclusive. Written in lay language (as

Attached please read a legal case regarding credit card fraud. Please provide a summary of the case Please identify all legal statutes US DOJ applied to

Attached please read a legal case regarding credit card fraud. Please provide a summary of the case Please identify all legal statutes US DOJ applied to prosecute the case Please highlight prevention techniques identified in the textbook or PPT lecture Please discuss which technique is most effective in this legal case

Do some research on Threat Response software. Find one particular

Do some research on Threat Response software. Find one particular software package to investigate. What does the software do? What are it’s major features? What kind of training is required? How much does the software cost? Write 300 of your own words and submit in a WORD document here at least 3 references.

COMPREHENSIVE SOAP NOTE Nursing Assignment Help

To prepare: Review the Comprehensive SOAP Note Template. Select a patient who you saw at your practicum site during the last 5 weeks. With this patient in mind, consider the following: Subjective: What details did the patient provide regarding the personal and medical history? Objective: What observations did you make

Case Study: Maybe Your Ducks Should Not All Be in

Case Study: Maybe Your Ducks Should Not All Be in a Row Steelcase is a furniture company out of Grand Rapids, Michigan, that was founded in 1912. They were originally named Metal Office Furniture Co., and their first patent was for a metal wastebasket. In 1915 their product line

Briefly explain why you believe it is important for a community to align THIRA/SPR outcomes with requests for federal funding and grants. What kind of

Briefly explain why you believe it is important for a community to align THIRA/SPR outcomes with requests for federal funding and grants. What kind of ethical issues arise when communities request federal funding and grants from one program but utilize or spend the funding and grants allocated in another area?

See attachments below Analysis of Interpersonal Communication in “Friday Night Lights” Interpersonal communication is highly demonstrated in the

See attachments below Analysis of Interpersonal Communication in “Friday Night Lights” Interpersonal communication is highly demonstrated in the “Friday Night Lights” film is. For the analysis of the interpersonal communication of the “Friday Night Lights,” Chapter 6 of “Interpersonal Communication Eighth Edition” can offer comprehensive framework. The chapter elaborate on

In the following scenario, please respond with the FIRST thing

In the following scenario, please respond with the FIRST thing the social worker should do. This is strictly optional. Extra credit points will be assigned to those that respond with the correct answer. This will not count against you if you choose not to respond. Scenario: A student brings a

Chapter 4 Marketing 4.0 In The Digital Economy

Read Chapter 4 from the text https://www.wiley.com/en-us/Marketing+4+0%3A+Moving+from+Traditional+to+Digital-p-9781119341147 and then response the questions accordingly in 2 pages. Questions: How can your brand develop a powerful differentiation based on human-to-human touch in the digital world? How can your business transition from the traditional four P’s to the digital four C’s by adopting

Companys Value Proposition Discussion Questions Nursing Assignment Help

Use the attached file name Competitive advantage to answer questions 1&2 1. How a firm’s unique activities directly relate to establishing competitive advantage. 2. How would you analyze a firm’s value proposition? Use the attached file name Conflict Management in Teams to answer question 3 3. The author of Conflict

How many immigrants does the U.S. allow per year? What

How many immigrants does the U.S. allow per year? What are the categories for admission? How are these numbers broken down (who is included and who is not)? What policy changes do you see as having the most effect on current immigration, in your opinion? (Use your readings and cite

For this assignment you will create an engaging, 20-minute recorded

For this assignment you will create an engaging, 20-minute recorded presentation of a common health problem related to a particular body system. Your presentation should include an overview of the health problem identified, an in-depth review of the associated anatomy and physiology, an overview of treatment methodologies, and information related

DID

First, remember your approved research topic. Center this at the top of a word document to begin your annotated bibliography. Find your peer-reviewed articles.You will need 15 peer- reviewed research articles for this assignment. A few notes about this: When collecting journal articles, make sure to obtain the full-text of

Anatomy and Physiology Nursing Assignment Help

What is the usual turnover time for intestinal epithelium and once a viral infection is over, how long would you expect it to take for damaged intestinal epithelium to be regenerated? Expert Solution Preview The usual turnover time for intestinal epithelium is approximately 3-5 days. This means that the cells

Write an 1 and ½ pages long (600 word minimum)

Write an 1 and ½ pages long (600 word minimum) discuss: 1st – whether you believe we ARE losing social capital, or whether we are simply relating to people and building that sense of community and shared trust and norms in new and different ways; and 2nd – discuss HOW social