Question: You hedged your financial firm s exposure to increasing interest rates

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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