# Question

Make the same assumptions as in the previous problem.

a. What is the 9-month forward price for the stock?

b. Compute the price of a 95-strike 9-month call option on a futures contract.

c. What is the relationship between your answer to (b) and the price you computed in the previous question? Why?

a. What is the 9-month forward price for the stock?

b. Compute the price of a 95-strike 9-month call option on a futures contract.

c. What is the relationship between your answer to (b) and the price you computed in the previous question? Why?

## Answer to relevant Questions

Assume K = $40, σ = 30%, r = 0.08, T = 0.5, and the stock is to pay a single dividend of $2 tomorrow, with no dividends thereafter. a. Suppose S = $50. What is the price of a European call option? Consider an otherwise ...Using the parameters in Table 13.1, verify that equation (13.9) is zero. Suppose you sell a 40-strike put with 91 days to expiration. What is delta? If the option is on 100 shares, what investment is required for a delta-hedged portfolio? What is your overnight profit if the stock price ...Consider a 40-strike call with 91 days to expiration. Graph the results from the following calculations. a. Compute the actual price with 90 days to expiration at $1 intervals from $30 to $50. b. Compute the estimated price ...Let S = $40, σ = 0.30, r = 0.08, T = 1, and δ = 0. Also let Q = $40, σQ = 0.30, δQ = 0, and ρ = 1. Consider an exchange call with S as the price of the underlying asset and Q as the price of the strike asset. a. What is ...Post your question

0