Business, 06.03.2020 18:52 khollier3119

Consider the market for wheat. The current price of a ton of wheat is 250 USD. In the next year, the price will be 310 with probability 1/3 and 220 with probability 2/3. The interest rate between the two years is 5% i) Compute the price of a future that allows to purchase a ton of wheat next year for 300 USD. ii) Compute the price of a call option on a ton of wheat with a strike price of 300 USD. The option can be exercised a year from now. 3 iii) Where is the difference in this two prices coming from? iv) Compute the price of a put option on a ton of wheat with a strike price of 305 USD. The option can be exercised a year from now. v) Compute the expected return of a portfolio composed of the future in part (i) and the put option in part

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Consider the market for wheat. The current price of a ton of wheat is 250 USD. In the next year, the...

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