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QUESTION 17 Suppose a 6-month maturity call option with exercise price $80 currently sells for $10. Consider a portfolio with $7000 invested in three at-the-money call contracts and $3000 in 6-month T-bills to earn 2% return. What's the portfolio return when the stock price becomes $120? O a. 0.706 O b. 0.709 O c. 2.106 O d. 27.306

QUESTION 17 Suppose a 6-month maturity call option with exercise price $80 currently sells for $10. Consider a portfolio with $7000 invested in three at-the-money call contracts and $3000 in 6-month T-bills to earn 2% return. What's the portfolio return when the stock price becomes $120? O a. 0.706 O b. 0.709 O c. 2.106 O d. 27.306

FINANCIAL ACCOUNTING
FINANCIAL ACCOUNTING
10th Edition
ISBN:9781259964947
Author:Libby
Publisher:Libby
Chapter1: Financial Statements And Business Decisions
Section: Chapter Questions
Problem 1Q
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QUESTION 17 Suppose a 6-month maturity call option with exercise price $80 currently sells for $10. Consider a portfolio with $7000 invested in three at-the-money call contracts and $3000 in 6-month T-bills to earn 2% return. What's the portfolio return when the stock price becomes $120? O a. 0.706 O b. 0.709 O c. 2.106 O d. 27.306
Transcribed Image Text:QUESTION 17 Suppose a 6-month maturity call option with exercise price $80 currently sells for $10. Consider a portfolio with $7000 invested in three at-the-money call contracts and $3000 in 6-month T-bills to earn 2% return. What's the portfolio return when the stock price becomes $120? O a. 0.706 O b. 0.709 O c. 2.106 O d. 27.306
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