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
    SIQ3004 Mathematics of Financial Derivatives 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.

Stuck in Completing this Assignment and feeling stressed ? Take our Private Writing Services.

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.


Recent Solved Questions

Online Exam & Assignment Writing Services

70841+ Orders Delivered

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

Sample Assignment Download

ASM552 Project Management Assignment Sample UiTM Malaysia
The ASM552 Project Management qualification will equip you with the skills to ensure successful projects from the beginning through the end. Core topics include policy compliance, risk assessment and management…
BGN142 Construction Materials I UITM Assignment Sample, Malaysia
We are here to offer you the assignment solution for the "BGN142 Construction Materials I" course at UITM in Malaysia. This course aims to provide you with a solid foundation…


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