Homework Answers
Spot Market Price = $ 5.03, Risk_Free Rate = 2 % and Storage Cost = $ 0.05 per month, Tenure = 2months
Therefore, Futures Price = 5.03 x e^[0.02 x (2/12)] + 0.05 x 2 = $ 5.14679 ~ 5.15
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4. Today's wheat price at the local cash market level is $5.03/bushel. Using a discount rate...
9. 10.00 points value: The multiplier for a futures contract on a certain stock market index is $250. The maturity of the contract is year, the current level of the index is 1,500, and the risk-f...
9. 10.00 points value: The multiplier for a futures contract on a certain stock market index is $250. The maturity of the contract is year, the current level of the index is 1,500, and the risk-free interest rate is 0.3% per month. The dividend yea on the index is 02% per month. Suppose that after one month, the stock index is at 1529. a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition...
A non-dividend-paying stock is currently priced at $33.15. The risk-free rate is 4.4 percent and a futures contract on the stock matures in three months. What price should the futures be? (Do not rou...
A non-dividend-paying stock is currently priced at $33.15. The risk-free rate is 4.4 percent and a futures contract on the stock matures in three months. What price should the futures be? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Futures price
A non-dividend-paying stock is currently priced at $33.15. The risk-free rate is 4.4 percent and a futures contract on the stock matures in three months. What price should the futures be? (Do not round intermediate...
The current spot price of gold is $1200 per ounce. The riskless interest rate is 1%...
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The table below shows All's monthly costs of producing wheat. Suppose the current market price of...
The table below shows All's monthly costs of producing wheat. Suppose the current market price of wheat is $84.70 per bushel. ATC (dollars) MC (dollars) All's Wheat Production Costs Quantity AVC (bushels) (dollars) 0 - 500 $19.70 1,000 16.70 1,500 14.70 2,000 19.70 2.500 24.70 3,000 29.70 3,500 34.70 4,000 39.70 4,500 44.70 5,000 49.70 $44.70 29.70 28.03 29.70 32.70 36.37 40.41 44.70 49.14 53.70 4.70 14.70 22.70 34.70 44.70 54.70 64.70 74.70 84.70 94.70 Instructions: Round your answers to...
The multiplier for a futures contract on a stock market index is $70. The maturity of...
The multiplier for a futures contract on a stock market index is $70. The maturity of the contract is 1 year, the current level of the index is 1,840, and the risk-free interest rate is 0.8% per month. The dividend yield on the index is 0.3% per month. Suppose that after 1 month, the stock index is at 1,860. a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly. (Do...
PROBLEM 1. Spot price of gold is $1,407-40/oz. The total interest rate on three-month loans and...
PROBLEM 1. Spot price of gold is $1,407-40/oz. The total interest rate on three-month loans and deposits is 0.75% (i.e. $100 borrowed today would require a payment of $100.75 in three months). a. Assuming no storage cost and no transaction cost, determine the no-arbitrage price for a gold futures contract maturing three months from now. b. Suppose that the three-month gold futures contract is actually traded at $1,420.20/oz. Determine if an arbitrage opportunity is present. If so, describe a trading...
The multiplier for a futures contract on a certain stock market index is $250. The maturity...
The multiplier for a futures contract on a certain stock market index is $250. The maturity of the contract is one year, the current level of the index is 2,000, and the risk-free interest rate is 0.4% per month. The dividend yield on the index is 0.1% per month. Suppose that after one month, the stock index is at 2,033. a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly....
The multiplier for a futures contract on a certain stock market index is $50. The maturity...
The multiplier for a futures contract on a certain stock market index is $50. The maturity of the contract is one year, the current level of the index is 2,000, and the risk-free interest rate is 0.2% per month. The dividend yield on the index is 0.1% per month. Suppose that after one month, the stock index is at 2,040. a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly....
a. If the spot price of gold is $980 per troy ounce, the risk-free interest rate...
a. If the spot price of gold is $980 per troy ounce, the risk-free interest rate is 6%, and storage and insurance costs are zero, what should be the forward price of gold for delivery in one year? (Round your answer to 2 decimal places.) Forward price b. Calculate risk-free arbitrage profits if the forward price is $1,080. (Round your final answers to nearest whole dollar amount.) Profit L
4. Sun Board of Trade offers futures contract on Nyakato, Inc. Assume risk free interest rate...
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9. 10.00 points value: The multiplier for a futures contract on a certain stock market index is $250. The maturity of the contract is year, the current level of the index is 1,500, and the risk-free interest rate is 0.3% per month. The dividend yea on the index is 02% per month. Suppose that after one month, the stock index is at 1529. a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition...
A non-dividend-paying stock is currently priced at $33.15. The risk-free rate is 4.4 percent and a futures contract on the stock matures in three months. What price should the futures be? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Futures price
A non-dividend-paying stock is currently priced at $33.15. The risk-free rate is 4.4 percent and a futures contract on the stock matures in three months. What price should the futures be? (Do not round intermediate...
The table below shows All's monthly costs of producing wheat. Suppose the current market price of wheat is $84.70 per bushel. ATC (dollars) MC (dollars) All's Wheat Production Costs Quantity AVC (bushels) (dollars) 0 - 500 $19.70 1,000 16.70 1,500 14.70 2,000 19.70 2.500 24.70 3,000 29.70 3,500 34.70 4,000 39.70 4,500 44.70 5,000 49.70 $44.70 29.70 28.03 29.70 32.70 36.37 40.41 44.70 49.14 53.70 4.70 14.70 22.70 34.70 44.70 54.70 64.70 74.70 84.70 94.70 Instructions: Round your answers to...
The multiplier for a futures contract on a stock market index is $70. The maturity of the contract is 1 year, the current level of the index is 1,840, and the risk-free interest rate is 0.8% per month. The dividend yield on the index is 0.3% per month. Suppose that after 1 month, the stock index is at 1,860. a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly. (Do...
PROBLEM 1. Spot price of gold is $1,407-40/oz. The total interest rate on three-month loans and deposits is 0.75% (i.e. $100 borrowed today would require a payment of $100.75 in three months). a. Assuming no storage cost and no transaction cost, determine the no-arbitrage price for a gold futures contract maturing three months from now. b. Suppose that the three-month gold futures contract is actually traded at $1,420.20/oz. Determine if an arbitrage opportunity is present. If so, describe a trading...
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a. If the spot price of gold is $980 per troy ounce, the risk-free interest rate is 6%, and storage and insurance costs are zero, what should be the forward price of gold for delivery in one year? (Round your answer to 2 decimal places.) Forward price b. Calculate risk-free arbitrage profits if the forward price is $1,080. (Round your final answers to nearest whole dollar amount.) Profit L
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