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Options Ex.2 S Profit or Loss X 9.177
Citation preview
Options
Ex.1
0τ00 pr1
XSc
4/1τ%,10r,10c,100X,100S 00
645.7
)1.1(10010010
r1XScp 25.0τ000
Buy a put and a call option at strike price of $100.
The cost of this strategy is: $10+$7.645=$17.645
S
Profit or Loss
100
- 17.645
Options
Ex.24/1τ%,10r,4p,50X,50S 00
177.54
1.15050p
r1XSc 25.00τ00
S
Profit or Loss
X
9.177
Options
Ex.2c
Buy a Call option, lend $50/1.10.25, and write a put option. The total cost:
504
1.150177.5p
r1XcS 25.00τ00
Options
Ex.3
Buy a call option with a strike price of $60 and write a call option with a strike price of $62.
SBuy C60Write C62Total
55-220
60-220
61-121
62022
675-32
Options
Ex.4
0τ00 pr1
XSc
0000 SX0r1
XSpc
When X>S0 the call option is out of the money and the put option is in the money.
Options
Ex.54/1τ%,8r,110X,80S,130S,100S du0
0c
20110130cu
0
4.052
80130020
SScch
du
du
61.8
08.11304.0201004.0
r1hSchSc 25.0τ
uu00
Options
Ex.5b
Ex.5c
0t00 pr1
XSc
5.16pp
08.111010061.8 0025.0
Options
Ex.6 2/1τ%,10r%,30σ,50X,50S0
)d(NXe)d(NSc 2τr
100
3418.05.03.0
5.0)23.01.0()
5050ln(
τσ
τ)2
σr()XSln(
d
2
2
1
1296.05.03.03418.0τσdd 12
5516.0)1296.0(N)d(N6337.0)3418.0(N)d(N
2
1
45.55516.0e506337.050c 5.01.00
Ex.6b
0S
)d(N
0
1
Ex.6c
6248.0)d(N318.05.04.0
5.0)24.01.0()
5050ln(
1
2
Options
Ex.72/1τ%,4r%,5.2r%,15σ,8.1X,75.1S FL0
283.05.015.0
5.0)215.004.0025.0()
8.175.1ln(
τσ
τ)2
σrr()XSln(
d
2
2
FL
1
389.05.015.0283.0τσdd 12
)d(NXe)d(NeSc 2τr
1τr
00LF
3485.0)389.0(N)d(N3885.0)283.0(N)d(N
2
1
047.03485.0e8.13885.0e75.1c 5.0025.05.004.00
