Gold Forward Price for delivery in 6 months 2202.64 (USD per ounce) Gold spot price (USD...

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Gold Forward Price for delivery in 6 months 2202.64 (USD per ounce) Gold spot price (USD per ounce) 2157.41 Exchange rate Per annum 6-month US interest rate continuously compounded (T=0.5) 0.6555 USD per 1 AUD 5.65% Strike Price in USD Over-the-counter European Over-the-counter European call option premium in USD 1835 360.99 put option premium in USD 3.59 1940 2050 2157.41 2202.64 2265 2375 2480 267.35 12.02 180.90 32.51 113.33 69.36 90.57 90.57 64.7 125.32 33.09 200.64 15.94 285.57 1. Forward price is gold is calculated as FO=S0e^[(r-q) T], where q is the known yield on gold or the lease rate, which is net of the convenience yield and storage costs. It can be implied from observed forward and futures prices. What is the per annum 6-month gold lease rate with continuous compounding that is implied from the 6-month forward contract on gold with a forward price of USD2202.64. 2. While pricing a forward contract, it is important to think about a replicating portfolio which replicates the forward contract's payoff. Demonstrate how to construct a portfolio of the underlying asset and cash to replicate a 6 month forward contract to purchase 1 ounce of gold at a forward price of USD 2202.64. The answer should show the cash flows at t=0 and payoff at t=6 months for each transaction. Your answer must not include option contracts. 3. Verify that put-call parity holds for all the contracts above. Showcase your results in a table. 4. Why are the call and put premiums the same when the strike price is USD 220,2.64? Explain. Gold Forward Price for delivery in 6 months 2202.64 (USD per ounce) Gold spot price (USD per ounce) 2157.41 Exchange rate Per annum 6-month US interest rate continuously compounded (T=0.5) 0.6555 USD per 1 AUD 5.65% Strike Price in USD Over-the-counter European Over-the-counter European call option premium in USD 1835 360.99 put option premium in USD 3.59 1940 2050 2157.41 2202.64 2265 2375 2480 267.35 12.02 180.90 32.51 113.33 69.36 90.57 90.57 64.7 125.32 33.09 200.64 15.94 285.57 1. Forward price is gold is calculated as FO=S0e^[(r-q) T], where q is the known yield on gold or the lease rate, which is net of the convenience yield and storage costs. It can be implied from observed forward and futures prices. What is the per annum 6-month gold lease rate with continuous compounding that is implied from the 6-month forward contract on gold with a forward price of USD2202.64. 2. While pricing a forward contract, it is important to think about a replicating portfolio which replicates the forward contract's payoff. Demonstrate how to construct a portfolio of the underlying asset and cash to replicate a 6 month forward contract to purchase 1 ounce of gold at a forward price of USD 2202.64. The answer should show the cash flows at t=0 and payoff at t=6 months for each transaction. Your answer must not include option contracts. 3. Verify that put-call parity holds for all the contracts above. Showcase your results in a table. 4. Why are the call and put premiums the same when the strike price is USD 220,2.64? Explain.