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Class Notes for ADMS 4503 at York University (YORKU)

YORKADMS 4503Nabil TahaniWinter

ADMS 4503 Lecture Notes - Risk-Free Interest Rate, Convenience Yield, Spot Contract

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YORKADMS 4503Nabil TahaniWinter

ADMS 4503 Lecture Notes - Futures Exchange, S&P 500 Index, Dividend Yield

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You must sign and submit the standard cover page supplied as the last page of this assignment. Staple your assignment prior to handing it in. This assi
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YORKADMS 4503Nabil TahaniWinter

ADMS 4503 Lecture Notes - Bull Spread, Call Option, Arbitrage

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62
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YORKADMS 4503Nabil TahaniWinter

ADMS 4503 Lecture Notes - Bull Spread, Risk-Free Interest Rate, Alphabet Inc.

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You must sign and submit the standard cover page supplied as the last page of this assignment. Staple your assignment prior to handing it in. This assi
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YORKADMS 4503Nabil TahaniWinter

ADMS 4503 Lecture Notes - Arbitrage, Net Profit, Short Squeeze

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45
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YORKADMS 4503Nabil TahaniWinter

ADMS 4503 Lecture Notes - Lecture 9: Royal Aircraft Factory B.E.2, Arbitrage, Risk Neutral

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Note: all black lines are initial positions, all red lines are the second step. S = 100, k = 100 div = 4 (time = 0. 5) r = 4% t = 1 cmkt = 40, pmkt = 2
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YORKADMS 4503Nabil TahaniWinter

ADMS 4503 Lecture Notes - Bear Spread, Bull Spread

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It is however no longer available and cannot be done in the present market due to taxable advantage. 40 2x20 + 40 + 2 ( , 0) e. g. max( 660 a3 , 0) Any
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YORKADMS 4503Nabil TahaniWinter

ADMS 4503 Lecture Notes - Option Style, Risk-Free Interest Rate, S&P 500 Index

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YORKADMS 4503Nabil TahaniWinter

ADMS 4503 Lecture Notes - Lecture 8: Arbitrage, Option Style, Covered Call

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Put call parity c + ke-rt = p + s0. S0 = 200, k = 180 r = 4% t = 1 year c = 40: what is p. We get p = c + ke-rt + s0. P = 12. 94: assume pmkt = 20, now
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YORKADMS 4503Nabil TahaniWinter

ADMS 4503 Lecture Notes - Lecture 10: Risk-Free Interest Rate, Option Style, Call Option

OC216154 Page
32
S0 = 50, k = 52, r = 5% t = 2y , m = 2, t= 1 y, u = 1. 2 ,, d = 0. 8. The payoff for a put is k st , or 0. Put = [ p2 x fuu + 2p(1-p)fud + (1-p)2 fdd]
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YORKADMS 4503Nabil TahaniWinter

ADMS 4503 Lecture Notes - Spot Contract, Arbitrage, Risk-Free Interest Rate

OC216155 Page
28
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YORKADMS 4503Nabil TahaniWinter

ADMS 4503 Lecture Notes - Convenience Yield, Futures Exchange, Arbitrage

OC216152 Page
27
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