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FIN-405: Financial Derivatives

Description

Instructions – PLEASE READ THEM CAREFULLY

• This assignment is an individual assignment.

  • The Assignment must be submitted only in WORD format via allocated folder on Blackboard.
  • Assignments submitted through email will not be accepted.
  • Students are advised to make their work clear and well presented. This also includes filling your information on the cover page.
  • Students must mention question number clearly in their answer.
  • Late submitted assignments will NOT be entertained.
  • Avoid plagiarism, the work should be in your own words, copying from students or other resources without proper referencing will result in ZERO marks. No exceptions.
  • All answered must be typed using Times New Roman (size 12, double-spaced) font. No pictures containing text will be accepted and will be considered plagiarism).

    • Submissions without this cover page will NOT be accepted

    College of Administrative and Financial Sciences

    Assignment-2
    Financial Derivatives (FIN405)
    Deadline: (19/10/2024 @ 23:59 PM)

    Course Name: Financial Derivatives
    Course Code: FIN405

    Student’s Name:

    Semester: 1st

    CRN: 12323

    Student’s ID Number:

    Academic Year: 2024-25 1st Semester

    For Instructor’s Use only:
    Instructor’s Name: Dr Ahsanuddin Haider
    Students’ Grade: /10

    Level of Marks: High/Middle/Low

    Instructions – PLEASE READ THEM CAREFULLY
    • This assignment is an individual assignment.
    • The Assignment must be submitted only in WORD format via allocated folder
    on Blackboard.
    • Assignments submitted through email will not be accepted.
    • Students are advised to make their work clear and well presented. This also
    includes filling your information on the cover page.
    • Students must mention question number clearly in their answer.
    • Late submitted assignments will NOT be entertained.
    • Avoid plagiarism, the work should be in your own words, copying from
    students or other resources without proper referencing will result in ZERO
    marks. No exceptions.
    • All answered must be typed using Times New Roman (size 12, doublespaced) font. No pictures containing text will be accepted and will be
    considered plagiarism).
    Submissions without this cover page will NOT be accepted.

    Assignment Questions
    Q.1 Explain each of the following concepts as they relate to call options. (02
    Marks)
    a. Delta
    b. Gamma
    c. Rho
    d. Vega
    Q.2 Explain the advantages and disadvantages to a covered call writer of
    closing out the position prior to expiration. (02 Marks)
    Q.3 Explain the basic concepts of price and value for futures and forward
    contracts. (02 Marks)
    Q.4 One stock index futures was priced at 960.50 in September. The S&P 500
    index was at 956.49. The contract expires 73 days later.
    a. Assuming continuous compounding, suppose the risk-free rate is 5.96
    percent and the dividend yield on the index is 2.75 percent. Is the futures
    overpriced or underpriced?
    b. Assuming annual compounding, suppose the risk-free rate is 5.96 percent
    and the future value of dividends on the index is $5.27. Is the futures overpriced
    or underpriced? (04 Marks)

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