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Bob menjual opsyen jual Eropah enam bulan, dengan harga laksana RM45 pada satu pecahan saham...

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Bob menjual opsyen jual Eropah enam bulan, dengan harga laksana RM45 pada satu pecahan saham ABC untuk RM X. ABC kini berdagang pada RM40 dan kadar faedah berkesan tahunan ialah 9%. Dalam masa enam bulan, harga pecahan saham tersebut adalah RM37.25. Kerugian Bob dalam transaksi ini ialah RM2.53. Bob sells a six-months European put option with a strike price of RM 45 on one share of stock ABC for RMX. ABC currently trades at RM40 and the annual effoctive interest rate is 9%, in six months time the stock price is actually RM37.25. Bob's loss on this transaction is RM2.53. (a) Apakah nilai X ? What is X ? (2 markah/marks) (b) Apakah harga opsyen panggilan Eropah enam bulan. Jika tiada peluang arbitraj? What is the price of the six-months European call, if there is no arbitrage opportunity? ( 2 markah/marks) (c) Apakah penjelasan disebalik persamaan yang digunakan dalam soalan 6b? What is the reasoning behind the equation used in question 6b ? (1 markah/mark)

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