Question: For Question 2 9 to Question 4 6 , refer to the information below which was partially captured from FTNN at some point in time
For Question to Question refer to the information below which was partially captured from FTNN at some point in time and partially hypothesized:
HSI index level today t
Forward price T month
Forward Contract Size
Spot annualized month interest rate
pacontinuously compounded
Call option Premium Strike
Put option Premium Strike
Dividend yield
Expected HSI index level months later
assume the forward price is the same as futures price quoted from the exchange
assume that the forward has a contract size of which is different from the futures' contract size
Expected HSI index level is just your expectation, the actual HSI index level could be higher or lower than this
A What is your expected profit month later if you have taken a long position on the stock at t
B What is your expected profit month later if you have taken a short position on the stock at t
Please leave dp for the answer.
C What is your expected payoff month later if you have taken a long position on the forward at t
Please leave dp for the answer.
D What is your expected profit month later if you have taken a short position on the forward at t
Please leave dp for the answer.
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