期權(quán)期貨考試大題-展示頁
2025-04-03 04:07本頁面
【正文】 is five months? （保留2位小數(shù)）Solution: In this case F=19,X=20, r=, σ=, Tt=, The price of the European put is 4) A oneyearlong forward contract on a nondividendpaying stock is entered into when the stock price is $40 and the riskfree rate of interest is 10% per annum with continuous pounding.(a) What are the forward price and the initial value of the forward contract?(b) Six months later, the price of the stock is $45 and the riskfree interest rate is still 10%. What are the forward price and the value of the forward contract?The forward price, ， The initial value of the forward contract is zero. (a) The delivery price K in the contract is $. The value of the forward contract after six months is given: The forward price, 七 Consider a portfolio that is delta neutral, with a gamma of 5,000 and a vega of 8,000. Suppose that a traded option has a gamma of , a vega of , and a delta of . Another traded option with a gamma of , a vega of , and a delta of .What position in the tra
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