Question

You hedged your financial firm’s exposure to increasing interest rates by buying one December put on Eurodollar deposit futures at the premium quoted earlier on April 15 (see Exhibit 8-4).

a. How much did you pay for the put in dollars if you chose the strike price of 977500?
b. If December arrives and Eurodollar deposit futures have a settlement index at expiration of 96.50, what is your profit or loss? (Remember to include the premium paid for the put option.)



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  • CreatedOctober 31, 2014
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