You have the following market data. The Russell 2000 market index currently is 1678. The annualized,...
You have the following market data.
- The Russell 2000 market index currently is 1678.
- The annualized, continuously compounded dividend yield on this index is 3.06%.
- The futures contract on this index has an index multiplier of 50.
- The annualized, continuously compounded risk-free rate is 1.24%.
- The index futures contract that expires in 6 months has a futures price of 1796.65.
What is the total net profit if you execute the arbitrage strategy with one futures contract?
Do not round values at intermediate steps in your calculations. Enter your answer in dollars and cents to two decimal places, but omit the $ symbol and commas. For example, enter $1,234.56 as 1234.56 as your answer.
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You have the following market data.
The Russell 2000 market index currently is 1678.
The annualized,...
please shown in STEPS QUESTION 9 The current value of the P&S 347 index is 2300...
please shown in STEPS
QUESTION 9 The current value of the P&S 347 index is 2300 points while the price of a P&S futures contract for delivery in six months is $60,000. The risk-free interest rate is 10% per year and the future value of the dividends paid out to one share of the P&S index is $2500. The contract multiplier is $25, which means that for the purposes of this futures contract each index point is worth that much....
3. Forward and Futures Prices You observe the following data on March 15: XYZ Index September...
3. Forward and Futures Prices You observe the following data on March 15: XYZ Index September 15 XYZ Index forward price Continuously compounding risk-free rate $125 $123 7% A. (12 points) Construct a replicating portfolio of the XYZ Index forward using XYZ Index stocks and risk-free bonds. What is the forward price? How much do you have to pay to enter the forward contract? Is there an arbitrage opportunity? How can you take advantage of it if there is one?...
HOME ASSIGNMENT PROBLEM №1 What is a forward price of an index JKL given the following...
HOME ASSIGNMENT
PROBLEM №1
What is a forward price of an index JKL given the following
information?
Date of pricing: November 15, 2019
Time till expiration: four months / Contract expires on March
15, 2020
Current value of an index: 2 803
Continuously compounded interest rate: 4.5 %
Continuously compounded dividend yield: 2.3%
PROBLEM №2
What is the value of the forward contract (specified in
problem №1) on January 15, 2020 if:
Forward price of contract with the same underlying...
Suppose you purchase a March 2017 oats futures contract on this day at the last price...
Suppose you purchase a March 2017 oats futures contract on this day at the last price of the day. Use Table 23.1 What will your profit or loss be if oats prices turn out to be $2.4713 per bushel at expiration? (Do not round intermediate calculations. Enter your answer as a positive value and round your answer to 2 decimal places, e.g., 32.16.) Loss TABLE 23.1 Sample Wall Street Journal Futures Price Quotations Chg Open interest -0.0125 -0.0130 6 72...
Suppose you sell six August 2017 gold futures contracts on this day, at the last price...
Suppose you sell six August 2017 gold futures contracts on this day, at the last price of the day. Use Table 23.1 a. What will your profit or loss be if gold prices turn out to be $1,249.70 per ounce at expiration? (Do not round intermediate calculations. Enter your answer as a positive value rounded to the nearest whole number, e.g., 32.) b. What will your profit or loss be if gold prices are $1,235.90 per ounce at expiration? (Do...
please shown in STEPS
QUESTION 9 The current value of the P&S 347 index is 2300 points while the price of a P&S futures contract for delivery in six months is $60,000. The risk-free interest rate is 10% per year and the future value of the dividends paid out to one share of the P&S index is $2500. The contract multiplier is $25, which means that for the purposes of this futures contract each index point is worth that much....
3. Forward and Futures Prices You observe the following data on March 15: XYZ Index September 15 XYZ Index forward price Continuously compounding risk-free rate $125 $123 7% A. (12 points) Construct a replicating portfolio of the XYZ Index forward using XYZ Index stocks and risk-free bonds. What is the forward price? How much do you have to pay to enter the forward contract? Is there an arbitrage opportunity? How can you take advantage of it if there is one?...
HOME ASSIGNMENT
PROBLEM №1
What is a forward price of an index JKL given the following
information?
Date of pricing: November 15, 2019
Time till expiration: four months / Contract expires on March
15, 2020
Current value of an index: 2 803
Continuously compounded interest rate: 4.5 %
Continuously compounded dividend yield: 2.3%
PROBLEM №2
What is the value of the forward contract (specified in
problem №1) on January 15, 2020 if:
Forward price of contract with the same underlying...
Suppose you purchase a March 2017 oats futures contract on this day at the last price of the day. Use Table 23.1 What will your profit or loss be if oats prices turn out to be $2.4713 per bushel at expiration? (Do not round intermediate calculations. Enter your answer as a positive value and round your answer to 2 decimal places, e.g., 32.16.) Loss TABLE 23.1 Sample Wall Street Journal Futures Price Quotations Chg Open interest -0.0125 -0.0130 6 72...
Suppose you sell six August 2017 gold futures contracts on this day, at the last price of the day. Use Table 23.1 a. What will your profit or loss be if gold prices turn out to be $1,249.70 per ounce at expiration? (Do not round intermediate calculations. Enter your answer as a positive value rounded to the nearest whole number, e.g., 32.) b. What will your profit or loss be if gold prices are $1,235.90 per ounce at expiration? (Do...
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