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elf_fu elf_fu
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7 years ago
The spot price of the market index is $900. After 3 months the market index is priced at $920. The annual rate of interest on treasuries is 2.4% (0.2% per month). The premium on the long put, with an exercise price of $930, is $8.00. What is the profit or loss at expiration for the long put?
A) $2.00 gain
B) $2.00 loss
C) $1.95 gain
D) $1.95 loss
Textbook 
Derivatives Markets

Derivatives Markets


Edition: 3rd
Author:
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phuongha2892phuongha2892
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7 years ago
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