Matt owns 5,000 share of Matrix at $52.50. To arbitrage this he shorts 5,000 calls and longs 5,000 puts at a strike of $50.00. Assume = 0.16, ? = 0.30, rf = 0.06, and the options expire in 170 days
What is the value at risk for 1 week at a 95% confidence level?
A) $0
B) $16,433
C) $18,433
D) $20,433
A
Business
You might also like to view...
Cover Board Inc. is a company that designs and prints advertisements on coffee sleeves used on cups sold in coffee shops
To find clients to advertise on the coffee cup sleeves, the company sends a representative to other companies to explain them the benefits of advertising on these sleeves. In this case, which of the following promotional strategies is used by Cover Board Inc.? a. Mass communication b. Implicit communication c. Personal selling d. Sales promotion
Business
Annual Percentage Rate (APR) is the most important required disclosure under FTL.
a. true b. false
Business