Scribd Logo
Importer

Bienvenue sur Scribd !

  • Assignmlmlent 01 Derivative Instruments

    Transféré par

    ihavenoidea33
    19 vues2 pages
    The document contains 3 questions about determining forward and futures prices for investment assets. Question 1 asks to calculate the 3-month forward price for an asset priced at $40 with a 5% risk-free rate and no income. Question 2 provides the same information but notes the asset pays $4 in income. Question 3 asks to determine the 10-month futures price on gold priced at $543 with 8% interest and $3 per ounce annual storage fees.

    Description originale:

    mklmklmklmklm

    Copyright

    © Attribution Non-Commercial (BY-NC)

    Formats disponibles

    DOCX, PDF, TXT ou lisez en ligne sur Scribd

    Avez-vous trouvé ce document utile ?

    Ce contenu est-il inapproprié ?

    Signaler ce document
    The document contains 3 questions about determining forward and futures prices for investment assets. Question 1 asks to calculate the 3-month forward price for an asset priced at $40 with a 5% risk-free rate and no income. Question 2 provides the same information but notes the asset pays $4 in income. Question 3 asks to determine the 10-month futures price on gold priced at $543 with 8% interest and $3 per ounce annual storage fees.

    Droits d'auteur :

    Attribution Non-Commercial (BY-NC)
    Téléchargez comme DOCX, PDF, TXT ou lisez en ligne sur Scribd
    Signaler comme contenu inapproprié
    19 vues2 pages

    Assignmlmlent 01 Derivative Instruments

    Transféré par

    ihavenoidea33
    The document contains 3 questions about determining forward and futures prices for investment assets. Question 1 asks to calculate the 3-month forward price for an asset priced at $40 with a 5% risk-free rate and no income. Question 2 provides the same information but notes the asset pays $4 in income. Question 3 asks to determine the 10-month futures price on gold priced at $543 with 8% interest and $3 per ounce annual storage fees.

    Droits d'auteur :

    Attribution Non-Commercial (BY-NC)
    Téléchargez comme DOCX, PDF, TXT ou lisez en ligne sur Scribd
    Signaler comme contenu inapproprié
    sur 2

    Submission Date: Feb 20, 2013 (in the first five minutes of the class) Marks: 5 Late Submission

    would not be accepted 1. Determine Forward price for an investment asset that provides no income. Consider a forward contract negotiated today as: spot rate is $40, risk free interest rate is 5% and time is 3 months. 2. Consider a forward contract negotiated today as : T= 3 months = year, S0= $40, r = 5%. In addition, the asset provides a known income in the future (dividends, coupon payments, etc.) with a PV of I= $4, F0 =?

    3. Consider a 10 months futures contract on gold. Suppose that it costs $3 per ounce per year to store gold, with the payment being made at the end of the year. Assume that the spot price is $543and the risk-free rate is8% per annum for all maturities. Determine the Future price?

    Vous aimerez peut-être aussi