An asset has a current price of $10 and has volatility of 0.35. The expected price in 9 months is $13. The US continuous risk free rate (rf) is 5.5% while the Philippine continuous risk-free rate (rd) is 6.5%. The value to the short and to the long would be?
An asset has a current price of $10 and has volatility of 0.35. The expected price in 9 months is $13. The US continuous risk free rate (rf) is 5.5% while the Philippine continuous risk-free rate (rd) is 6.5%. The value to the short and to the long would be?
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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- An asset has a current price of $10 and has volatility of 0.35. The expected price in 9 months is $13. The US continuous risk free rate (rf) is 5.5% while the Philippine continuous risk-free rate (rd) is 6.5%. The value to the short and to the long would be?
- The price of a European stock is €50 and it as an expected price of €65 in 8 months. The stock has a variance of 0.36. The European continuous risk free rate is 4.5% while the US continuous risk free rate is 3.2%. The value to the short and to the long would be?
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