ENGIN 120 Study Guide - Final Guide: Jet Fuel, Call Option, Futures Contract
Document Summary
May 14, 2005: buy a futures contract on jet fuel. Buy a futures call option on jet fuel. Sell a futures call option on jet fuel. 1. 1 a commercial airline requires jet fuel to operate its planes. 1. 2 which of the following does not present an arbitrage opportunity? (assume no transaction costs and any option can be exercised immediately. ) 1. 3 for a call and put option on the same stock, with the same exercise price e, and the same time to maturity t, the call option delta minus the put option delta is equal to . 1. 4 given the following information: the risk-free rate is 7%, the beta of stock a is 1. 2, the beta of stock. B is 0. 8, the expected return on stock a is 13. 5%, and the expected return on stock b is 11. 0%. Further, we know that stock a is fairly priced and that the betas of stocks a and b are correct.
