Financial Derivatives — DU Bachelor of Business Administration (Financial Investment Analysis) Previous Year Question Papers

One-Month premium: 15/20 Additional Information for all cases: Interest rate = 12% Bank charges = 1.00/o per trade 5. Given: Spot Price = 1145, Strike Price = 1140,1.5-month Call Premium = 7.5, and Interest Rate = 5%. (18) Answer the following : (a) Can you earn a risk-free profit? Show your working. (b) What trades would you execute to earn this risk-free profit? (c) Calculate the worst-case profit. (d) Calculate the best-case profit. (e) Draw the jayoff diagram. (I) Determine the range of Call Premiums. in which arbitrage is not possible. 6. Write short notes on the following : (i) Extreme Loss Margin (v) Open Interest 3. No negative marking. 1. Calculate the Call and Put premiums without using Put-Call parity. (18) Spot price (S): Last two digits of your university Examination Roll Number + 10 (If the last two digit.s are 00, then Spot = 10; if 01, then Spot = 11; if 99, then Spot = 109) Interest Rate (r): Last digit of your University Examination Roll Number (If the last digit is 0, then r = 0°/o; if 9, then r = 9°/o) Strike Price (K): Equal to Spot Time (T): 1 year 2. Calculate the call and put premiums given: (18) T (time to expiry) = 1 month 3. Suppose the 1.5-month call. and put premiums for the ATM Strike price of 100 are 5 and 15. If the interest rate is the Last digit of your university examination roll number (if, the last digit is 0, then the Interest rate will be 0%, if the last two digits are 9, then the Interest rate will be 90/o). (18) Answer the following : Does an arbitrage opportunity exist? If yes, what trades would you execute to earn risk-free profit? What is the maximum risk-free return if the stock's closing price is Rs.150 on the option's expiration day? On January 1,2025, Mr. Rohit, an exporter, entered into a forward contract wi.th-a bank to hedge 100,000 USD on March 31,2025, at 88.40. (18) Calculate the net cash inflow/outflow for Mr. Rohit in the following cases. Mr. Rohit received such an amount on February Interbank rate on Feb 28, 2025: One-Month premium: 15/20 Mr. Rohit informed the bank about the cancellation of this contract on 28th Feb 2025. Interbank rate on Feb 28, 2025: One-Month premium: 15/20 Mr. Rohit requested the bank, a lHmonth extension on the maturity date. Interbank rate on March 31, 2025: