Consider the following Options Kuala Lumpur Index (OKLI) traded at BMDB:Option TypeOption Price33201218CallCallii.PutPutExercise Price750780Required:Illustrate graphically with relevant labels and working for following synthetic strategies:i. Long straddleLong strangle750780+

Synthetic strategies involve combining options to create positions that mimic the payoff of other…

Consider the following Options Kuala Lumpur Index (OKLI) traded at BMDB: Option Type Option Price 33 20 12 18 i. Call Call ii. Put Put Required: Illustrate graphically with relevant labels and working for following synthetic strategies: Long straddle Exercise Price 750 780 750 780 + Long strangle

Consider the following Options Kuala Lumpur Index (OKLI) traded at BMDB: Option Type Option Price 33 20 12 18 i. Call Call ii. Put Put Required: Illustrate graphically with relevant labels and working for following synthetic strategies: Long straddle Exercise Price 750 780 750 780 + Long strangle

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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b) Suppose you are given the following information: Current market price of a share= R200 000 Option’s exercise price = R300 000 Time until the option expires= 5 yrs Risk free rate =4% Standard deviation of the returns on the share= 0.35 Required: i. Calculate d1 and d2 ii. Suppose N(d1) =0.7517 and N(d2) =0.4602; calculate the price of the call option on the share
Ningbo Industrial Concepts Incorporated Initial stock price $115.00 Exercise price $115.00 Call price $4.75 Put Price $4.50 Required: Using the information in the table above, please calculate dollar value of the following option strategies. Use this calculated dollar value to determine the profit of each strategy at various stock prices. (Use cells A3 to B6 from the given information to complete this question. Negative answer should be input and displayed as a negative value. All other answers should be input and displayed as positive values.) Ningbo Industrial Concepts Incorporated Dollar Value of Strategy as a Function of Current Stock Price Strategy $95.00 $105.00 $115.00 $125.00 $135.00 Straddle Strip Strap Ningbo Industrial Concepts Incorporated Rate of Return…
3
Reconsider the determination of the hedge ratio in the two-state model where we showed that one-third share of stock would hedge one option. The possible end-of-year stock prices, us $135 (up state) and dSo = $115 (down state). Required: = a. What would be the call option hedge ratio for each of the following exercise prices: $135, $127, $120, $115, given the possible end- of-year stock prices, us $135 (up state) and dSo $115 (down state)? = = b. What do you conclude about the hedge ratio as the option becomes progressively more in the money? × Answer is not complete. Complete this question by entering your answers in the tabs below. Required A Required B What would be the call option hedge ratio for each of the following exercise prices: $135, $127, $120, $115, given the possible end-of-year stock prices, uso = $135 (up state) and dS = $115 (down state)? Note: Round your answers to 3 decimal places. Exercise Hedge Ratio Price $ 135 0.500 127 0.500 × 120 0.500 × $ 115 0.500 ×
2. Calculate the put premium according to put-call parity which gives no arbitrage opportunity. Explain what transaction would you do if the put premium is below/above the put premium you calculated. European call option premium: c = $2 Stock price today: So- $30 Life of option: T=0.5 Risk-free rate for maturity T with continous compounding: r= 8% Strike price: K= Decide on the K value yourself (carefully). No dividends paid during life of option.
PLEASE ANSWER CORRECTLY ALL THE FALLOWING ******MAKE SURE YOU DONT NOT GIVE ME THE WRONG ANSWERS
Reconsider the determination of the hedge ratio in the two-state model where we showed that one-third share of stock would hedge one option. The possible end-of-year stock prices, uS0 = $135 (up state) and dS0 = $115 (down state). Required: What would be the call option hedge ratio for each of the following exercise prices: $135, $127, $120, $115, given the possible end-of-year stock prices, uS0 = $135 (up state) and dS0 = $115 (down state)? What do you conclude about the hedge ratio as the option becomes progressively more in the money?
Consider a portfolio consisting of one share and several European call options with the same expiry, but different strike prices. The payoff diagram of the portfolio is given by the following figure. Find the strike prices and the positions of each call option. Portfolio payoff 25 20 15 10 15 20 25 30 Stock price Payoff
A financial institution has the following portfolio of over-the-counter options on GBP (sterling, UK currency): Type Position Delta of Option Gamma of Option Vega of Option Call -1,000 0.5 2.2 1.8 Call -500 0.8 0.6 0.2 Put -2,000 Call -500 -0.40 0.70 1.3 0.7 1.8 1.4 A traded option is available with a delta of 0.3, a gamma of 1.7, and a vega of 0.8. To make the portfolio both gamma-neutral and delta-neutral, you will take a (long/short) position in the traded option. You will also take a (long/short) position in GBP. How many GBP (i.e. don't worry about L/S, just write how many GBP)? Assume that all implied volatilities change by the same amount so that vegas can be aggregated. Enter your answer rounded to the nearest integer, skip the currency sign. For example, if your calculation results in GBP 9,876.1234567, you only need to enter 9876
help me
Topic: Option Pricing When computing, please do not round off. Only final answers must be rounded off to two decimal places Based on the Black-Scholes model, the price of a put option should be P2,800. If the underlying asset has a strike price of P60,000 and a market price of P58,500, how much is the extrinsic value of the option?

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