What is the hedge ratio for removing exposure to market risk if S & P500 Futures are 1,123.5?

SKU: wufo52 Category:

What is the put price if the stock price increases $1?

 

Order Now

I. Binomial Pricing

1.Using a non-arbitrage argument price a put option with strike $80 on a stock that sells for $70 and will be selling for either $85 or $75 in one year. The risk-free rate is 10%.

 

II.BSOPM : (construct (graphically)

S35
T73 days
K30
sigma0.525
R0.08

 

1.Call =…….……                                                     2. Put = ………….

 

2.Delta of the put =………

 

Delta neutrality ratio                                             #calls……….. and #puts……………….

 

3. What is the put price if the stock price increases $1?

 

4.A stock portfolio holds $10 million market value and an average beta=1.45. What is the hedge ratio for removing exposure to market risk if S&P500 Futures are 1,123.5? How many contracts do you need to hedge?

 

What position should you establish?

 

If you want to increase exposure to beta 1.8 how many contracts do you need? Determine the type of position:

 

What is the price of a bond that pays 6% annual coupon and has 4 years to maturity if the term structure is:

S (0-1)2.2
S (0-2)2.6
S (0-3)3.2
S (0-4)4.1

 

 
 

Writing your homework and assignments all on your own is a difficult task. So, Assignments4u has made it easy for students by helping them in writing their assignments. Assignments4u will assist you in completing your tasks, and you can approach us with all your assignment, homework, and essay writing requirements.

We have over 4350+ experienced writers working as experts in different streams of study. Get all your academic doubts clarified and take pride in learning subjects like history, math’s or law. Our assignment help and essay help is available in countries like USA, Australia, New Zealand, Singapore and many more. Get accounting assignment help, corporate nursing assignment help, marketing assignment help or else statistics assignment help in exchange for a nominal price.

Reviews

There are no reviews yet.

Be the first to review “What is the hedge ratio for removing exposure to market risk if S & P500 Futures are 1,123.5?”

Your email address will not be published. Required fields are marked *

Sorry no more offers available

When assignments gets tough, get tougher

Want a fresh solution like this one? 
We are available 24/7
ORDER NOW
+1
Share
Tweet
Pin
Call Back