Question

thari cut and the wa w ewe is the awoward ! the continuously dosest to the A R $50000 S502 SSOR 76 An investors an asset that is currently worth and the continuously free rate at all maturities is if the assepoys continuous dividend of 2 Following is the closest to the no arbitrage price of a 3-month forward contra ously compounded of 2%, which of the onth forward contract? R C 549424 $498.75 $50125 $506.29 21. AG A6 month zero rate and an age and price is now S 98. What are a 6 month continuously como rate with semiannual compounding per vear? 4.12% 2.06% 4.04% 400 3.98% 1,89% 3.76% 3.82% An equity portfolio is worth $100 million with the benchmark of the Dow Jones Industrial Average. The Dow is currently at 20,000, and the corresponding portfolio beta is 0.96. The futures multiplier for the Dww is 10. What is the correct number of contracts and position needed to double the portfolio beta? Long 300 contracts Short 150 Contracts Long 480 contracts Short 420 contracts

Answer 1

1.
=500*EXP(3%*3/12)=503.764097722267

2.
=500*EXP((3%-2%)*3/12)=501.251563802898

3.
=ln(100/98)*2=4.04054%

=(1+4.04054%/2)^2-1=4.08135%

5.
Long
Number of contracts=100*10^6*(0.96*2-0.96)/(20000*10)=480