MATH 534 Final: MATH 537 UMass Amherst finalS06
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Instructions: show all your work for full credit, and box your answers when appropriate. There are 7 questions, each worth 10 points. Unless otherwise noted, all risk free rates are per annum with continuous compounding: the contract size of a futures in oil is 1000 barrels. The futures price of one of these contracts with delivery date in 6 months is ,000. Suppose it costs (to paid up front) to store each barrel of oil for 6 months. Compute the spot price of one barrel of oil. 1: the spot price of biodiesel is a barrel. It costs (to paid in 6 months) to store one barrel of biodiesel for 6 months. A european call on one barrel with strike price and expiring in 6 months costs . A european put on one barrel with strike price and expiring in 6 months costs .
