Homework 3 EBF 473 - Number 1 Homework 3 Event Event Prob 1 2 3 4 5 6 Europa Return 0.15 0.23 0.11 0.17 0.12 0.22 Excess Return Europa Sq 0.02175625

Homework 3 EBF 473 - Number 1 Homework 3 Event Event Prob 1...

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Number 1 Homework 3 Event Event Prob Europa Return Market Return Excess Return Europa Excess Return Market 1 0.15 0.21 -0.04 0.1475 -0.0871 2 0.23 -0.08 0.01 -0.1425 -0.0371 3 0.11 0.2 0.16 0.1375 0.1129 4 0.17 0.04 0.1 -0.0225 0.0529 5 0.12 -0.03 -0.03 -0.0925 -0.0771 6 0.22 0.11 0.09 0.0475 0.0429 Excess Return Europa Sq. Excess Return Market Sq. Pr[]2 Europa Pr[]2 Market 0.02175625 0.00758641 0.0032634375 0.0011379615 0.02030625 0.00137641 0.0046704375 0.0003165743 0.01890625 0.01274641 0.0020796875 0.0014021051 0.00050625 0.00279841 8.60625E-005 0.0004757297 0.00855625 0.00594441 0.00102675 0.0007133292 0.00225625 0.00184041 0.000496375 0.0004048902 E(R) Europa 0.0625 Std Dev Europa 10.78% E(R) Market 0.0471 Std Dev Market 6.67% Var. Europa 1.1623% Covariance 0.00209825 Var. Market 0.4451% Correlation 0.2917386639 β 0.4714543465 Risk Free (R) 0.0762365559 Number 2 Strike Price Call Price Put Price Put-Stock-Call/Strike Interest 30 12 0.12 0.9976666667 0.704679% 35 7.23 0.27 0.9957142857 1.295576% 40 2.9 1.15 1.0015 -0.452140% 45 0.48 4 1.0073333333 -2.204050% 50 0.1 8.28 0.9998 0.060337% T (time) 0.3315068493 Stock Price 41.81
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Number 3 Long Position Short Position $ Available 400,000,000 3.80% 3.70% 4.25 4.5 3.83 4.083 $/$ face 0.8508665315 0.8466228169 Using money 398004991.677 338649126.7742 $/$face - Long $/$ face - short Value of Long Value of Short Profit 2.00% 0.9262602836 0.9215852444 368656216.477 368634097.767 22118.709421 2.10% 0.9227194917 0.9178300832 367246963.609 367132033.297 114930.31208 2.20% 0.919192235 0.9140902231 365843097.858 365636089.253 207008.60443 2.30% 0.915678462 0.9103656017 364444598.629 364146240.697 298357.93203 2.40% 0.9121781209 0.906656157 363051445.407 362662462.79 388982.61754 2.50% 0.9086911605 0.902961827 361663617.758 361184730.797 478886.96086 2.60% 0.9052175296 0.8992825502 360281095.322 359713020.083 568075.23918 2.70% 0.9017571772 0.8956182653 358903857.82 358247306.113 656551.70715 2.80% 0.8983100527 0.8919689111 357531885.05 356787564.453 744320.597 2.90% 0.8948761054 0.8883344269 356165156.885 355333770.767 831386.11857 3.00% 0.891455285 0.884714752 354803653.278 353885900.819 917752.45952 3.10% 0.8880475412 0.8811098262 353447354.257 352443930.471 1003423.7854 3.20% 0.8846528242 0.8775195892 352096239.926 351007835.686 1088404.2397 3.30% 0.881271084 0.8739439813 350750290.465 349577592.521 1172697.944 3.40% 0.8779022712 0.8703829428 349409486.132 348153177.134 1256308.9982 3.50% 0.8745463362 0.8668364144 348073807.258 346734565.777 1339241.4805 3.60% 0.8712032299 0.863304337 346743234.25 345321734.802 1421499.4474 3.70% 0.8678729031 0.8597866516 345417747.59 343914660.656 1503086.934 3.80% 0.8645553072 0.8562832997 344097327.835 342513319.88 1584007.9541 3.90% 0.8612503933 0.8527942228 342781955.615 341117689.114 1664266.5002 4.00% 0.857958113 0.8493193627 341471611.635 339727745.091 1743866.5437 4.10% 0.8546784181 0.8458586616 340166276.675 338343464.64 1822812.0348 4.20% 0.8514112603 0.8424120617 338865931.585 336964824.683 1901106.9029
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