Logo
Home Study Material Contact Search
AI Chat FREE
  1. business
  2. accounting
  3. as an analyst at bank of america merrill lynch, yo

As an analyst at Bank of America Merrill Lynch, you are evaluating European call futures...

70.2K

Verified Solution

Question

Accounting

As an analyst at Bank of America Merrill Lynch, you are evaluating European call futures option and European put futures options. A futures price is currently $50. It is expected to move either to $55 or down to $45 over the next three month. The risk-free interest rate is 8% per annum with continuous compounding. Please answer the following questions related to the futures call options and put options with a strike price of 48.

a. What is the probability of an up movement in a risk-neutral world? (sample answer: 35.50%)

b. What is the futures call option delta? (sample answer: 0.45)

c. What is the futures put option delta? (sample answer: -0.45)

d. What is the value of the call option? (sample answer: $1.45) e. What is the value of the put option? (sample answer: $1.45)

Answer & Explanation Solved by verified expert
Get Answers to Unlimited Questions

Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!

Membership Benefits:
  • Unlimited Question Access with detailed Answers
  • Zin AI - 3 Million Words
  • 10 Dall-E 3 Images
  • 20 Plot Generations
  • Conversation with Dialogue Memory
  • No Ads, Ever!
  • Access to Our Best AI Platform: Zin AI - Your personal assistant for all your inquiries!
Become a Member

Other questions asked by students

Q

654 32 6 5 4 3 2 1 Me He 1 2 3 5 6...

Geometry
Q

A milk truck carries milk with density 64.6 lb/ft3 in a horizontal cylindrical tank with diameter...

Basic Math
Q

A car company is considering a new engine filter for its new hybrid automobile line. But...

Statistics
Q

On a Saturday morning, pickup trucks and sport utility vehicles carrying garbage to the town dump...

Physics
Q

Solve the compound inequality and write the answer using interval notation Simplify your answer completely...

Basic Math
Q

Use geometry to evaluate the following integral 7 7 ff x dx 1 f x...

Calculus
Q

Write the system of equations as an augmented matrix 5c 199 35 27 4r 7n...

Algebra
Q

Linden Company manufactures and sells a single product. Cost data for the product follow: Variable...

Accounting
Q

Read pages 9-12 of the LDC Cloud Systems Case Study: LDC_Cloud_Systems_case_study_2017-10.pdf and answer the question...

Accounting
Q

please solve. highlight, underline or bold print the answer. Adi Manufacturing Corporation...

Accounting
Q

What is the present value of $1 received five years from now (rounded to two...

Accounting
Q

Describe phantom stock & SARS are and how they are used to encourage key employees...

Accounting