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  3. part c: 3 marks a derivative (which is neither a c

Part C: 3 marks A derivative (which is neither a call nor a put) is...

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Accounting

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Part C: 3 marks A derivative (which is neither a call nor a put) is structured such that it replicates the features of a forward contract with a forward price of X. A derivative trader is tasked to derive an analytical formula to price this derivative. The pricing formula includes, among others, the familiar N(dz) term of the Black-Scholes model. Assuming no default risk, the N(dz) of this unique derivative is (i) (ii) Almost equal to 100% High at around 80% Around 50% Low at around 20% Almost equal to 0% (iv) (v) Fill in the blank with one of above choices. Then, clearly justify your selection in no more than three sentences

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