The 3-month maturity put option price is $6 with a strike price of $60 on the...

  

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The 3-month maturity put option price is $6 with a strike price of $60 on the asset that is currently trading at $55. If the annual risk-free rate is 8%, what is the price of a 3-month maturity call option with a strike price of $60 on the same asset? If the investor writes 3- months call option and the future spot price of the asset is $65, what is the net profit/loss to the investor. Calculate the price of the call option and the net profit/loss to the investor. (A) The price of the call option is $2.18 and the net loss to the investor is $2.82. (B) The price of the call option is $6.00 and the net profit to the investor is $1.00. (C) The price of the call option is $4.82 and the net loss to the investor is $4.82. (D) The price of the call option is $5.00 and the net profit to the investor is $0.00. The investor invested in stocks and bonds to form a minimum variance portfolio. The return and standard deviation is as follows: Stock Bond Expected return 14% 8% Standard deviation 40% 30% The correlation between returns of the stock and bond is 0.06. Calculate the minimum variance portfolio's standard deviation. (A) The standard deviation of the minimum variance portfolio is 30.60%. (B) The standard deviation of the minimum variance portfolio is 39.40%. (C) The standard deviation of the minimum variance portfolio is 24.68%. (D) The standard deviation of the minimum variance portfolio is 35.00%. The 3-month maturity put option price is $6 with a strike price of $60 on the asset that is currently trading at $55. If the annual risk-free rate is 8%, what is the price of a 3-month maturity call option with a strike price of $60 on the same asset? If the investor writes 3- months call option and the future spot price of the asset is $65, what is the net profit/loss to the investor. Calculate the price of the call option and the net profit/loss to the investor. (A) The price of the call option is $2.18 and the net loss to the investor is $2.82. (B) The price of the call option is $6.00 and the net profit to the investor is $1.00. (C) The price of the call option is $4.82 and the net loss to the investor is $4.82. (D) The price of the call option is $5.00 and the net profit to the investor is $0.00. The investor invested in stocks and bonds to form a minimum variance portfolio. The return and standard deviation is as follows: Stock Bond Expected return 14% 8% Standard deviation 40% 30% The correlation between returns of the stock and bond is 0.06. Calculate the minimum variance portfolio's standard deviation. (A) The standard deviation of the minimum variance portfolio is 30.60%. (B) The standard deviation of the minimum variance portfolio is 39.40%. (C) The standard deviation of the minimum variance portfolio is 24.68%. (D) The standard deviation of the minimum variance portfolio is 35.00%.

Answer rating: 100% (QA)

In this question it is Given that Put option price 6 Strike price 60 Annual risk free rate 8 As per ... View the full answer