option-pricing

Option-pricing - Strategy01 Stock 80.00 85.00 90.00 95.00 100.00 105.00 110.00 115.00 120.00 125.00 130.00 135.00 140.00 145.00 150.00 155.00

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Strategy01 Page 1 Stock B-Call Max(0,S-E) Delta Gamma DD DG 80.00 #MACRO? 0.00 -40.00 ### 0.00 ### ### #MACRO? 85.00 #MACRO? 0.00 -35.00 ### #MACRO? ### ### ### #MACRO? 90.00 #MACRO? 0.00 -30.00 ### #MACRO? ### ### ### #MACRO? 95.00 #MACRO? 0.00 -25.00 ### #MACRO? ### ### ### #MACRO? 100.00 #MACRO? 0.00 -20.00 ### #MACRO? ### ### ### #MACRO? 105.00 #MACRO? 0.00 -15.00 ### #MACRO? ### ### ### #MACRO? 110.00 #MACRO? 0.00 -10.00 ### #MACRO? ### ### ### #MACRO? 115.00 #MACRO? 0.00 -5.00 ### #MACRO? ### ### ### #MACRO? 120.00 #MACRO? 0.00 0.00 ### #MACRO? ### ### ### #MACRO? 125.00 #MACRO? 0.00 5.00 ### #MACRO? ### ### ### #MACRO? 130.00 #MACRO? 5.00 10.00 ### #MACRO? ### ### ### #MACRO? 135.00 #MACRO? 10.00 15.00 ### #MACRO? ### ### ### #MACRO? 140.00 #MACRO? 15.00 20.00 ### #MACRO? ### ### ### #MACRO? 145.00 #MACRO? 20.00 25.00 ### #MACRO? ### ### ### #MACRO? 150.00 #MACRO? 25.00 30.00 ### #MACRO? ### ### ### #MACRO? 155.00 #MACRO? 30.00 35.00 ### #MACRO? ### ### ### #MACRO? Stock Profit Option Price Covered Call 80.00 85.00 90.00 95.00 100.00 105.00 110.00 115.00 120.00 125.00 130.00 135.00 140.00 145.00 150.00 155.00 0.00 20.00 40.00 60.00 80.00 100.00 120.00 140.00 160.00 180.00 Option Strategy Stock  B-Call Covered Call Stock Price Value
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Strategy01 Page 2 Rf 2.15% #MACRO? 8000.00 -36% Vol 25.00% #MACRO? 8500.00 -32% T 0.33 #MACRO? 9000.00 -28% E 125 #MACRO? 9500.00 -24% S 125.0000 #MACRO? 10000.00 -20% #MACRO? 10500.00 -16% #MACRO? 11000.00 -12% #MACRO? 11500.00 -8% #MACRO? 12000.00 -4% #MACRO? 12500.00 #MACRO? 13000.00 4% #MACRO? 13500.00 8% #MACRO? 14000.00 12% #MACRO? 14500.00 16% #MACRO? 15000.00 20% #MACRO? 15500.00 24% 155.00
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Risk-Free Page 3 Bid Discount 2.12 Ask Discount 2.11 Average Discount 2.12 Time to Expiration days 22 T-Bill Price 99.8708 Risk-Free Rate 2.15% http://online.wsj.com/mdc/page/marketsdata.html?mod=2_3000
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1/18/2007 10/8/2007 2/7/2007 2/28/2007 3/20/2007 4/10/2007 4/30/2007 5/18/2007 6/8/2007 6/28/2007 7/19/2007 8/8/2007 8/28/2007 9/18/2007 10/26/2007 11/15/2007 12/6/2007 12/27/2007 1/17/2008 2/7/2008 2/28/2008 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% AAPL 15 and 90 Day Volatility Column H Column I Day Annual Standard Deviation
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AAPL Page 5 Date Open High Low Close Adj Close 9/7/2006 70.6 73.48 70.25 72.8 72.80 9/8/2006 73.37 73.57 71.91 72.52 72.52 -0.39% 9/11/2006 72.43 73.73 71.42 72.5 72.50 -0.03% 9/12/2006 72.81 73.45 71.45 72.63 72.63 0.18% 9/13/2006 72.85 74.32 72.3 74.2 74.20 2.14% 9/14/2006 73.72 74.67 73.46 74.17 74.17 -0.04% 9/15/2006 74.6 74.98 73.29 74.1 74.10 -0.09% 9/18/2006 73.8 74.86 73.3 73.89 73.89 -0.28% 9/19/2006 74.1 74.36 72.8 73.77 73.77 -0.16% 9/20/2006 74.38 75.68 74.22 75.26 75.26 2.00% 9/21/2006 75.25 76.06 74.02 74.65 74.65 -0.81% 9/22/2006 74.3 74.34 72.58 73 73.00 -2.24% 9/25/2006 73.81 75.86 73.72 75.75 75.75 3.70% 9/26/2006 76.18 77.78 76.1 77.61 77.61 2.43% 9/27/2006 77.17 77.47 75.82 76.41 76.41 -1.56% 9/28/2006 77.02 77.48 75.95 77.01 77.01 0.78% 30% 9/29/2006 77.11 77.52 76.68 76.98 76.98 -0.04% 30% 10/2/2006
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This note was uploaded on 02/09/2010 for the course FIN 459 taught by Professor Yildary during the Spring '07 term at Syracuse.

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Option-pricing - Strategy01 Stock 80.00 85.00 90.00 95.00 100.00 105.00 110.00 115.00 120.00 125.00 130.00 135.00 140.00 145.00 150.00 155.00

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