Suppose the value of the S&P 500 stock index is currently $ 3,400. Required: If the 1-year T - bill rate is 6% and the expected dividend yield on the S&P 500 is 4%, what should the 1-year maturity futures price be? What if the T-bill rate is less than the dividend yield, for example, 1% ?
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- Suppose that the current price of Roblox Corporation common stock is (RBLX) is $100. If the price of RBLX will be either $150 or $50 one year from now, what is the price of a call option with a strike price of $120 expiring one year from now? Assume that the current risk free rate is 1%. What is the risk neutral probability of the stock being $150 one year from now?Suppose the value of the S&P 500 stock index is currently $3,700. Required: If the 1-year T-bill rate is 3% and the expected dividend yield on the S&P 500 is 1%, what should the 1-year maturity futures price be? What if the T-bill rate is less than the dividend yield, for example, 1%?Suppose the 180-day S&P 500 futures price is 1,404.98, while the cash price is 1,390.2. What is the implied dividend yield on the S&P 500 if the risk free interest rate is 3.5 percent? (Round your answer to 2 decimal places. Omit the "%" sign in your response.) Implied dividend %
- b) Suppose you are given the following information: Current market price of a share= R200 000 Option’s exercise price = R300 000 Time until the option expires= 5 yrs Risk free rate =4% Standard deviation of the returns on the share= 0.35 Required: i. Calculate d1 and d2 ii. Suppose N(d1) =0.7517 and N(d2) =0.4602; calculate the price of the call option on the shareSuppose the value of the S&P 500 stock index is currently 2,000.a. If the 1-year T-bill rate is 3% and the expected dividend yield on the S&P 500 is 2%, what should the 1-year maturity futures price be?b. What if the T-bill rate is less than the dividend yield, for example, 1%?Suppose a stock is currently (time t = 0) worth 100. Further, suppose the one year annually compounded interest rate is 2%, and the two year annually compounded rate is 3%. Find the following:a) The forward price for a forward contract on the stock with maturity year T1 = 1. b) The forward price for a forward contract on the stock with maturity year T2 = 2.c) The forward price for a forward contract with maturity T1 = 1 on a ZCB with maturity T2 = 2.d) The forward price for a forward contract with maturity T1 = 1 on a forward contract on the stock with maturity T2 = 2 and delivery price K = 101.
- Suppose the current stock price of JuJube Inc is ¥100, the risk-free interest rate is 5%, the standard deviation is 25%, the time to maturity is 4 months, the strike price is ¥85, and the price of a call option is ¥25.20. Using the put-call parity relationship, the put option price is closest to A. ¥25.20 B. ¥16.40 C. ¥5.20 D. ¥8.80 E. None of the aboveLet us consider a covered call strategy. Suppose the call premium is 7, with the exercise price of 100. The underlying stock price at expiration is 100. The stock price of today is 122. What is the maximum loss this strategy might end up with at the date of expiration?Find the current price of a one-year, R110-strike American put option on a non- dividend-paying stock whose current price is S(0) = 100. Assume that the continuously compounded interest rate equals r = 0.06. Use a two-period Binomial tree with u = 1.23, and d = 0.86 to calculate the price VP(0) of the put option.
- Suppose the 6-month Mini S&P 500 futures price is 1,345.99, while the cash price is 1,335.81. What is the implied difference between the risk-free interest rate and the dividend yield on the S&P 500? (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places.) Implied difference %Consider a European call option and a European put option that have the same underlying stock, the same strike price K = 40, and the same expiration date 6 months from now. The current stock price is $45. a) Suppose the annualized risk-free rate r = 2%, what is the difference between the call premium and the put premium implied by no-arbitrage? b) Suppose the annualized risk-free borrowing rate = 4%, and the annualized risk-free lending rate = 2%. Find the maximum and minimum difference between the call premium and the put premium, i.e., C − P such that there is no arbitrage opportunities.Suppose that the price of a stock today is at $25. For a strike price of K = $24 a 3-month European call option on that stock is quoted with a price of $2, and a 3-month European put option on the same stock is quoted at $1.5 Assume that the risk-free rate is 10% 3. per annum. (a) Does the put-call parity hold?