Calculate the value of a six-month European put on oil futures with a strike price of $72?

Fantastic news! We've Found the answer you've been seeking!

Question:

Calculate the value of a six-month European put on oil futures with a strike price of $72? The futures price is currently $70 per barrel, its volatility is 20% p.a., and the risk-free interest rate is 4% p.a. Assume that each option is for 1,000 barrels of oil.

Explicitly show the results of your calculations for the intermediate values d₁ and d₂.

Posted Date: May 10, 2024 03:11 AM

See More Questions

A commuter airline overbooks all of its flights by one passenger ( i. e., the ticket agent will take seven reservations for an airplane that has only six seats). The no-show experience for the past...
A statistics major and a finance major decide to get married. In order to investigate their per person expenses they select a random sample guests they have invited to the wedding and records whether...
A three-phase, 339.4-V, ABC system [Fig. 11-15(a)] has a -connected load, with Obtain the phase and line currents and draw the phasor diagram. ZAB = 10/0 2 ZBC = 10/30 2 ZCA 15-30 2
Pohle Designs has a department that makes high-quality leather cases for iPads. Consider the following data for a recent month: Budget Formula per Unit Various Levels of Output 10.000 1.000 12000...
Bond Issue, Interest Payments, Effective Interest Rate Method, Amortization Table. On January 1, 2015, the Landon Capital Partners, a U. S. GAAP reporter, issued $ 600,000 par value, 6%, six- year...
Explain a surgical team as a kind of functional group. What features does it share with most functional groups? What features distinguish it from most functional groups?
When a team of people is able to achieve more than what its members could by working individually, this is called ____________. (a) distributed leadership (b) consensus (c) team viability (d) synergy
Amir, who is single, retired from his job this year. He received a salary of $25,000 for the portion of the year that he worked, tax-exempt interest of $3,000, and dividends from domestic...
The graph below shows a currency exchange rate. How many Indian rupees can you exchange for each pound? The value of Indian rupees against British pounds 300 250- 200- 150- 100- Indian rupees (INR)...
Need help with this please. On January 1, 2020, Lesley Benjamin signed an agreement, covering 5 years, to operate as a franchisee of Stellar Inc. for an initial franchise fee of $55,000. The amount...
Anthony seeks to maximize the following utility function u(x, y) = x/3y2/3 subject to the budget constraint Pxx + Pyy = I
Miland group (Sydney) is considering taking over ABC Construction located in New Castle in order to expand its construction operation. Below are ABC's key financial figures for the past two years....
Calculate the missing information for the following purchase. Round your answers to the nearest cent. Selling Sales Sales Excise Excise Item Price Tax Rate Tax Tax Rate Tax tire $149.99 4% 6 $ Total...
1)Explore Corporation, an independent oil and gas exploration and production company decides to hedge part of their crude oil production using a collar.Management has decided they want to lock in a...
You are considering the wholesale purchase of 10,000 computers for $6,000,000 with the idea of reselling them at retail. All cash inflows from sales are estimated as at the end of the year. In the...
A restaurant offers both dine-in and take-out service. Customers can pay for their meal in cash, by credit card or by debit card. The restaurant owner wonders if there is an association between the...
Briefly discuss the implications of the financial statement presentation project for the reporting of stockholders equity.
Assume your U.S. firm currently exports to Mexico on a monthly basis. The goods are priced in pesos. Once material is received from a source, it is quickly used to produce the product in the United...
Using the information in the previous question, consider a proposal to price the exports to Mexico in dollars and to use the U.S. source for material. Would this proposal eliminate the exchange rate...
Assume that the dollar is expected to strengthen against the euro over the next several years. Explain how this will affect the consolidated earnings of U.S.-based MNCs with subsidiaries in Europe.

Calculate the value of a six-month European put on oil futures with a strike price of $72?

Question:

Expert Answer:

To calculate the value of a sixmonth European put option on oil futures we can use the BlackScholes ... View the full answer

Students also viewed these finance questions