# SIQ3004: Mathematics of Financial Derivatives Assignment, UM, Malaysia Discuss the moneyness of your call and put warrants based on the latest date of your data. If your call and put warrants

 University University of Malaya (UOM) Subject SIQ3004: Mathematics of Financial Derivatives

Assume the risk-free rate of interest is 2% per annum continuously compounded (or any risk-free rate from the market with a brief introduction. If your warrants data are collected from 01 March 2021 until 31 March 2021, then the latest date of your data is defined as 31 March 2021.

• Discuss the moneyness of your call and put warrants based on the latest date of your data.
• If your call and put warrants are now expired at the latest date of your data. In this example, the expiration date was 31 March 2021. Determine the fair value of the call and put warrants.
• Discuss at least 2 trading strategies that involve underlying, call, and put warrants.
• Based on your data. Calculate
a) The daily log return of the underlying asset, i.e
where R𝑡 is the log return at time T₁, and S𝑡 is the underlying price at time T𝑡.
b) Expected annualized return and annualized volatility of the underlying asset.
c) Time to maturity of both call and put options, assuming that the current date is the latest date of your data. In this example, the current date is 31 March 2021.
• Now change the current date to a new date (but early than 31 March 2021) such that your time to maturity is an integer multiplied by 7 (1 week). For example, let’s say an option expired on 29 May 2021. The time to maturity was 59 days if it is based on 31 March 2021, but it is not an integer multiplied by 7. The smallest integer number multiple of 7 after 59 days is 63 days. Hence, your NEW current date is 27 March 2021. Let ℎ = 7/365, (1 week), based on the input in (4) and the new current date, determine (for all call and put warrants)
(a) the number of periods for the binomial tree;
(b) the up and down factors, 𝑢𝑢 and 𝑑𝑑, respectively;
(c) the risk-neutral probabilities;
(d) the real probabilities;
(e) the current price of the warrant based on your binomial tree in 5(a);
(f) the true discount rate of the option at the current date;
(g) explain why the observed current option price is different from 5(e).
• Determine the theoretical price of the warrants under the Black-Scholes framework.

## Get Help By Expert

Struggling with SIQ3004: Mathematics of Financial Derivatives assignment? Look no further than Assignment Helper MY! Our dedicated team at the University of Malaya (UOM) provides reliable online assignment help that ensures your success. With our expertise, you'll receive custom-crafted solutions tailored to your requirements. Save time and secure top grades with our exceptional services. Besides this, you also hire our experts for top Online Exam Help.

Online Exam & Assignment Writing Services

70841+ Orders Delivered

4.9/5
5 Star Rating

Confidential & Secure Assignment Help For

Group Assignment Help

Online Exam -Test & Quiz

Cheapest Price Quote

Diploma & Certificate Levels

Semester & FYP Papers

Summative & Individual

GBA & Reflective

Last Minute Assistance

##### CMT350 Process Instrumentation UITM Assignment Sample, Malaysia
CMT350 Process Instrumentation at UiTM Malaysia is an introductory course covering the theory and practical application of process control systems. It provides historical context, fundamental theoretical knowledge, and the latest…
Engineering
##### FIN376 Analysis And Valuation Of Fixed Income Securities Assignment Answers Malaysia
FIN376 Analysis And Valuation Of Fixed Income Securities course is designed for those who wish to pursue a career in the field of investment analysis and portfolio management. The course…
Finance

UP TO 15 % DISCOUNT

Instant Paper Writing Services by Native Malaysia Writers

Plagiarism Free Solutions
100% Original Work
24*7 Online Assistance
Native PhD Experts
Hire a Writer Now