Question 1. Assume the continuously compounded interest rate has constant value 12%. The table below is...
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Question 1. Assume the continuously compounded interest rate has constant value 12%. The table below is for a futures contract maturing on day 6 with delivery price equal to the futures price. The underlying asset is a stock paying no income. The St column gives the stock price on each day. The (t,T) column gives the futures price on each day. The MTM column lists the mark-to-market payments. The interest column lists the interest that will be accrued on the mark-to-market payment by the maturity date. Fill in the table. Give at least four decimal places. (t,T) MTM interest day St 1900 1 2000 2 2100 3 2200 4 2000 5 2100 6 2050 sum: Hint: Use Mathematica or a spreadsheet (i.e. Excel) for the calculations. A "K call" is a call option with strike price K. Question 2. a) By considering a portfolio of ZCBs and a call option, prove that the price at time t Question 1. Assume the continuously compounded interest rate has constant value 12%. The table below is for a futures contract maturing on day 6 with delivery price equal to the futures price. The underlying asset is a stock paying no income. The St column gives the stock price on each day. The (t,T) column gives the futures price on each day. The MTM column lists the mark-to-market payments. The interest column lists the interest that will be accrued on the mark-to-market payment by the maturity date. Fill in the table. Give at least four decimal places. (t,T) MTM interest day St 1900 1 2000 2 2100 3 2200 4 2000 5 2100 6 2050 sum: Hint: Use Mathematica or a spreadsheet (i.e. Excel) for the calculations. A "K call" is a call option with strike price K. Question 2. a) By considering a portfolio of ZCBs and a call option, prove that the price at time t
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