For the following problem assume the effective 6-month interest rate is 2 %, the S-T 6-month forward price is $ 1020, and use the premiums listed below for S-T options with 6 month to expiration. Strike Call Put 950 120.405 51.777 1000 93.809 74.201 1020 84.47 84.47 1050 71.802 101.214 1107 51.873 137.167 1) Suppose you buy the S-T index for $ 1000 and buy a 950-strike put. Determine the profit for the following S-T index spot prices at expiry. When price is $ 925, the profit is $ When price is $ 950, the profit is $ When price is $ 975, the profit is $ When price is $ 1000, the profit is $ When price is $ 1025, the profit is $ When price is $ 1050, the profit is $ When price is $ 1075, the profit is $ When price is $ 1100, the profit is $ When price is $ 1125, the profit is $ ? When price is $925, the profit is $ When price is $ 950, the profit is $ When price is $ 975, the profit is $ When price is $ 1000, the profit is $ When price is $ 1025, the profit is $ When price is $ 1050, the profit is $ When price is $ 1075, the profit is $ When price is $ 1100, the profit is $ When price is $ 1125, the profit is $ ? ? ? ? ? ? ? ? 2) Suppose you buy a 950-strike call and invest $ 931.37 in zero-coupon bonds. Determine the profit for the following S-T index spot prices at expiry. ? ? ? ? ? ? ? ? ?
For the following problem assume the effective 6-month interest rate is 2 %, the S-T 6-month forward price is $ 1020, and use the premiums listed below for S-T options with 6 month to expiration. Strike Call Put 950 120.405 51.777 1000 93.809 74.201 1020 84.47 84.47 1050 71.802 101.214 1107 51.873 137.167 1) Suppose you buy the S-T index for $ 1000 and buy a 950-strike put. Determine the profit for the following S-T index spot prices at expiry. When price is $ 925, the profit is $ When price is $ 950, the profit is $ When price is $ 975, the profit is $ When price is $ 1000, the profit is $ When price is $ 1025, the profit is $ When price is $ 1050, the profit is $ When price is $ 1075, the profit is $ When price is $ 1100, the profit is $ When price is $ 1125, the profit is $ ? When price is $925, the profit is $ When price is $ 950, the profit is $ When price is $ 975, the profit is $ When price is $ 1000, the profit is $ When price is $ 1025, the profit is $ When price is $ 1050, the profit is $ When price is $ 1075, the profit is $ When price is $ 1100, the profit is $ When price is $ 1125, the profit is $ ? ? ? ? ? ? ? ? 2) Suppose you buy a 950-strike call and invest $ 931.37 in zero-coupon bonds. Determine the profit for the following S-T index spot prices at expiry. ? ? ? ? ? ? ? ? ?
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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Transcribed Image Text:For the following problem assume the effective 6-month interest rate is 2 %, the S-T 6-month forward price is $ 1020, and use the premiums listed below for S-T options with 6 month to expiration.
Strike
Call
Put
950 120.405 51.777
1000 93.809 74.201
1020 84.47
1050 71.802 101.214
84.47
1107 51.873 137.167
1) Suppose you buy the S-T index for $ 1000 and buy a 950-strike put. Determine the profit for the following S-T index spot prices at expiry.
When price is $ 925, the profit is $
?
When price is $ 950, the profit is $
When price is $ 975, the profit is $
When price is $ 1000, the profit is $
?
When price is $ 1025, the profit is $
?
When price is $ 1050, the profit is $
?
When price is $ 1075, the profit is $
?
When price is $ 1100, the profit is $
?
When price is $ 1125, the profit is $
?
2) Suppose you buy a 950-strike call and invest $ 931.37 in zero-coupon bonds. Determine the profit for the following S-T index spot prices at expiry.
When price is $ 925, the profit is $
When price is $ 950, the profit is $
?
When price is $ 975, the profit is $
?
When price is $ 1000, the profit is $
?
When price is $ 1025, the profit is $
?
When price is $ 1050, the profit is $
?
When price is $ 1075, the profit is $
?
When price is $ 1100, the profit is $
?
When price is $ 1125, the profit is $
?
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