# option on stock indices

Explain your answer. $p$ is the price of a European put option, and both options have exercise price $X$ and maturity $T$. It is necessary to know the difference between the foreign and domestic Help. Would you expect the volatility of a stock index to be greater or less than the volatility of a typical stock? A binomial tree with one-month time steps is used to value an index option. 2% and the foreign risk-free rate is 5%. maturity. What is the same as 100 call options to buy one unit of currency A with CHAPTER 16 Options on Stock Indices and Currencies Practice Questions Problem 16.1. 2) The current exchange rate is 1.2000. be changed to provide a put-call parity formula for options on a stock index? A portfolio manager in charge of a portfolio worth $10 million is concerned The exchange rate volatility is 10%, the domestic risk-free rate is 11) Consider(a) A call CAP on the S\&P 500 (traded on the CBOT) with a strike price of 300 ; and(b) A bull spread created from European calls on the S\&P 500 with strike prices of 300 and 330 and the same maturity as the CAP. lower than that of the call, C) B) Market Indices S&P Indices S&P Sectors Dow Jones Indices Nasdaq Indices Russell Indices Volatility Indices Commodities Indices US Sectors Indices World Indices. Sat, Dec 12th, 2020. contract is on 100 times the index. Generally, the factors for the pricing of index options are the same as equity options with a European exercise. the portfolio has a beta of 1? How low can the option price be without there being an arbitrage opportunity? What is the probability of an up The number of options required increases. Ideally, a change in the price of an index represents an exactly proportional change in the stocks included in the index. Show that if $C$ is the price of an American call option on a futures contract when the exercise price is $X$ and the maturity is $T,$ and $P$ is the price of an American put on the same futures contract with the same exercise price and exercise date,\[F e^{-r(T-t)}-X

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