A company needs to hedge the purchase of an asset in two months using 3-month futures on a similar asset. The following ...
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spot price change 0.50 0.61 -0.22 -0.35 0.79 0.04 0.15 0.70 -0.51 -0.41
futures price change 0.56 0.63 -0.12 -0.44 0.60 -0.06 0.01 0.80 -0.56 -0.46
A portfolio is currently worth $1 million and has a beta of 0.75. How can the portfolio manager use E-mini S&P 500 index futures to change the portfolio beta to 1.0 temporarily? Each E-mini S&P 500 index futures is on 50 indices. The current value of S&P 500 is 1250.
The current exchange rate is 1.6 USD/Euro. u= 1.05, d= 0.95, delta= 1. Risk free interest rates for USD and Euro are r = 5% and q= 4% , respectively. Price a 2-year at-the-money American put option.