Johnson next reviews an equity swap with an annual reset that the bank entered into six months ago as the receive-fixed, pay-equity party. Selected data regarding the equity swap, which is linked to an equity index, are presented in Exhibit ...

Hi, Can anyone explain the behavior of Delta and Gamma w.r.t moneyness and time please. Thanks

Please someone explain the lines mentioned in the notes. Thanks

Hi, Can anyone explain the Interpretation of Replication of an option as a long short portfolio of shares in Black Scholes model. Also kindly explain the dynamic rebalancing and self financing concept. Thanks

You observe a €50 price for a non-dividend-paying stock. The call option has two years to mature, the periodically compounded risk-free interest rate is 5%, the exercise price is €50, u = 1.356, and d = 0.744. Assume the call ...

Hi, Sixty days ago when Swiss franc/euro exchange rate was SF 1.12 per euro, Witkowski entered into (on behalf of a client) a one year, quarterly settlement euro Swiss franc swap paying €1 million at inception. The fixed for fixed swap ...

Chantal DuPont is the CFO of Vetements Verdun, a manufacturer of specialty clothing and uniforms, located in northern France. The firm is currently undergoing an expansion which will require DuPont to draw down 25 million on Vetements Verdun’s credit line ...