a) What is your profit 1 month later if you have taken a long position on the stock at t=0?

b) What is your profit 1 month later if you have taken a short position on the stock at t=0?

c) What is your payoff 1 month later if you have taken a long position on the forward at t=0?

d) What is your profit 1 month later if you have taken a short position on the forward at t=0?

Index level today (t=0)	22688.90
Forward price (T=1 month)*	22759
Forward Contract Size**	1
Spot annualized 1-month interest rate	2.94% p.a. (c.c.)
Call option Premium (Strike = 23000)	410
Put option Premium (Strike = 23000)	719
Dividend yield	0%
Index level 1 months later	22900

Answer rating: 100% (QA)

a If you have taken a long position on the stock at t0 your profit 1 month l... View the full answer