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17.When the interest rate is 5% per annum with continuous compounding, which of the following creates a principal protected note worth $1000?
A.A one-year zero-coupon bond plus a one-year call option worth about $59
B.A one-year zero-coupon bond plus a one-year call option worth about $49
C.A one-year zero-coupon bond plus a one-year call option worth about $39
D.A one-year zero-coupon bond plus a one-year call option worth about $29
A.A one-year zero-coupon bond plus a one-year call option worth about $59
B.A one-year zero-coupon bond plus a one-year call option worth about $49
C.A one-year zero-coupon bond plus a one-year call option worth about $39
D.A one-year zero-coupon bond plus a one-year call option worth about $29
Answer: B
A one-year zero-coupon bond is worth 1000e-0.05×1 or about $951. This leaves 1000−951 = $49 for buying the option.
A one-year zero-coupon bond is worth 1000e-0.05×1 or about $951. This leaves 1000−951 = $49 for buying the option.
Karteninfo:
Autor: CoboCards-User
Oberthema: Finance & Investment
Thema: Derivatives
Veröffentlicht: 27.10.2015