The following questions are related to binomial tree option pricing.F● Information about the underlying asset: spot price 100, expected return 15%,volatility 20%.● Information about the market: risk-free rate 5.00%.Consider an at-the-money American put option maturing in 1 year. Build a 3-stepCRR binomial tree (i.e. show the price changes).

American put option, we need to calculate the price changes at each step based on the given…

Answered: The following questions are related to…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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The "Dogs of the Dow" are the stocks listed on the Dow with the highest dividend yield. The following table shows the top 10 stocks of the "Dogs of the Dow" list for 2021, based on their performance the preceding year. Symbol Company Price ($) as of 12/31/2020 Yield as of 12/31/2020 CVX Chevron 84.45 6.11% IBM IBM 125.88 5.18% DOW Dow 55.50 5.05% WBA Walgreens 39.88 4.69% VZ Verizon 58.75 4.27% MMM 3M 174.79 3.36% CSCO Cisco 44.39 3.24% MRK Merck 81.80 3.18% AMGN Amgen 229.92 3.06% KO Coca-Cola 54.84 2.99% You decide to make a small portfolio consisting of a collection of 6 of the top 10 Dogs of the Dow. (a) How many portfolios are possible? portfolios (b) How many of these portfolios contain DOW but not MMM? portfolios (c) How many of these portfolios contain at most one stock priced above $100? portfolios
Given a bond with face value $100 and with maturity in 4 years, that pays annual coupon of $28 in arrears. The bonds current value is $133 i) If the Yield Volatility is 35%, what is the volatility of the forward price?
Suppose the 120-day futures price on crude oil is $115.00 per barrel and the volatility is 20.0%. Assume interest rates are 3.5%. What is the price of a $110 strike call futures option that expires in 120 days?
A bank records the number of mortgage applications and its own prevailing interest rate (at the first of the month) for each of 16 consecutive months. Find the best-fitting line for the interest rate (x) and the number of applications (y).
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If the expected return on the market is 8% and the risk free rate is 4% and the expected return is 12%, what is the market risk premium ?
3. Suppose an eight-year bond is purchased for $8100. The face value of the bond when it matures is $10,773. Find the APR.
1. Claire wants to invest $10,000 she got as a graduation gift from her family. She has the following options. (ii) MORE RISKY: Put it in a stock index fund that had an average APR of 11% over the last year. * le wants to invest $10,000 she got as a graduation gift from her family, She has the following options. (1) SAFE: Put it in a savings account that has an APR of 1.5% interest compounded monthiy. (11) MORE RISKY: Put it in a stock index fund that had an average APR of 11% over the last year. Find the value of each investment in 5 vears and advise Claire about how to invest the money. There are dimeo. ways to advise Claire so be sure to give reasons for your advice.
A stock has had the following year-end prices and dividends: Year Price Dividend 1 $ 65.03 — 2 71.90 $ .74 3 77.70 .79 4 63.97 .85 5 74.51 .94 6 86.75 1.01 What are the arithmetic and geometric returns for the stock? (Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16.)
The following table presents monthly interest rates, in percent, for 30 year and- 15 year fixed-rate mortgages, for a recent year. 30 Year 15 year 30 year 15 year 3.92 3.20 3.55 2.85 3.89 3.16 3.60 2.86 3.95 3.20 3.47 2.78 3.91 3.14 3.38 2.69 3.80 3.03 3.35 2.66 3.68 2.95 3.35 2.66 a. Construct a scatter plot of the 15- year rate (y) versus the 30-year rate (x). b. Compute the correlation coefficient between 30-year and 15-year rates.
45. Use the following information regarding an equal-weighted equity index and assume that all dividend payments are made at the end of the year. Security Price at the End of 2020 Price at the End of 2021 Dividends per Share A $20 $25 $0.50 B $50 $45 $0.20 C $31.25 $36 $0.40 D $100 $135 $0.50 Note: The dollar value of the index on December 31, 2020 is $10,000 and using a divisor of 10, the index level equals 1,000. The weight of Security B in the index on December 31, 2021 before rebalancing is closest to: a. 18.55% b. 25.00% c. 19.35% d. 22.15% e. 16.75%
Multiple Choice Assume that a company is considering purchasing a machine for $45,000 that will have a five-year useful life and no salvage value. The machine will lower operating costs by $17,000 per year. The company's required rate of return is 18%. The profitability index for this investment is closest to: Click here to view Exhibit 12B-1 and Exhibit 12B-2, to determine the appropriate discount factor(s) using the tables provided. 0.85. ○ 1.14. ○ 1.18. о 1.24.

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The following questions are related to binomial tree option pricing. ● Information about the underlying asset: spot price 100, expected return 15%, volatility 20%. ● Information about the market: risk-free rate 5.00%.