(1) How many put options with strike price X = 110 are necessary in the portfolio to have a certain payoff at maturity? (2) Find the value of a put option P0 with strike price X = 100. (3) Find the value of a call option C0 with X = 100 by using the Put-Call-Parity. Verify that your answer by calculating the price C0 directly.
(1) How many put options with strike price X = 110 are necessary in the portfolio to have a certain payoff at maturity? (2) Find the value of a put option P0 with strike price X = 100. (3) Find the value of a call option C0 with X = 100 by using the Put-Call-Parity. Verify that your answer by calculating the price C0 directly.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Consider a portfolio consisting of 6 stocks and 10 put options on the stocks. The current stock price is S0 = 100 and the stike price of the options is X = 100. The stock pricecan take on only two values at maturity T given by Su = 120 and Sd = 90. The risk-free rate is given by 5%.
(1) How many put options with strike price X = 110 are necessary in the portfolio to have a certain payoff at maturity?
(2) Find the value of a put option P0 with strike price X = 100.
(3) Find the value of a call option C0 with X = 100 by using the Put-Call-Parity. Verify that your answer by calculating the price C0 directly.
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