question f

Compute the variation margin you as the holder of the ball fites contract would have to the exchange clearing house as a result (x) On 3/1/2021 you decide to close out your short bunk beill futures contract. What does this involve? What type of futures position do you have to take in order to close out the long fu What futures contract trade do you need to do? 2 Marks for each part For parts (1) to (ix)Just provide the numerical answers to the questions posed, no working rec For part (x) state what futures contract you need to trade, whether you need to take a long or position in that futures, what would be the balance in your margin account after closing out. Question 4 [20 marks] Consider a 3-step binomial option pricing model for valuinga put option over a stock with $ - $10 exercise price X-$10 and maturity 0.75 The volatility, risk free rate and dividend yield are 0-19.06206, +342872%, yu0% respectiva The nodes in the tree are as follows: 10 The tree of stock prices is is as follows $13.3100 $10,0000 $11.0000 $9.0909 $12.1000 $10.0000 $8.2645 $11.0000 $9.0909 $7.5131 a) Show that up factor should be 1.100000 the down factor should be d =0.909091 the risk neutral probability of an up jump in the stock price is a the stock prices of 13.31, 11.00 and 9.0909 at time step 3 are correct 3 marks Write down the formulae needed to compute these items, then write down the inputs to thes Then state if the results are as suppested above The option price tree for a European at the money put option is as per the table below: $0.00 $0.00 $0.09 $0.00 $0.26 50.29 50.63 $0.91 $1.38 $2.49 b) Show how the put option values at nodes 5, 8 and 9 are calculated and verify that the figure are correct to 2 decimal places. 3 marks Write down the formulae needed to compute these items, then write down the inputs to thes Then state if the results are as suggested above c) Compute the forward price for the stock under a forward contract maturity in 9 months, fra information used to price the option 3 marks Write down the formulae needed to compute this, then write down the inputs to the formula Then provide the numeric value di compute the value of a long forward contract over the stock with a maturity of 9 months an same exercise price as the option 3 marks Write down the formulae needed to compute this, then write down the inputs to the formula Then provide the numeric value e) Using the put call party relationship.compute the price of a European call option over thes the value of the forward contract and the value of the put 3 marks Write down the formula needed to compute this, then write down the inputs to the formula Then provide the numeric value The option price tree for an American put option is as follows: $0.00 $0.00 $0.09 $0.00 50.35 50.29 $0.91 $0.91 $1.74 $2.49 For which nodes are the American put option values different from the European put option Why is there a difference? Explain? Are the results for those nodes correct? Assume the rest European option tree are correct in answering this Identity which nodes have this feature Briefly give a reason why Write down the formulae needed to compute the values then write down the inputs to the formula Then provide the numeric value Smarks Question : 20 marks Consider a portfolio comprised of assets and one liability The portfolio is made up of