Unformatted text preview: prices ranging from $20 to $60 depicting the profit on the bull spread after 1 day, 3 months, and 6 months. 3. Chapter 11: verify the day-3 and day-4 profits on slide #61 for the market-maker. Specify the market-maker’s actions and according cash flows. Keep 8 decimal points for option price and option delta in order to match the investment and profit numbers on the table. 4. Chapter 12: 12.3 (use information from Table 12.8 and those before the table) 5. Chapter 12: 12.6 (use information from Table 12.8 and those before the table) 6. Chapter 12: 12.15 (use information from Table 12.8 and those before the table) Hint: the lease rate (dividend yield) for the oil is not zero but the number implied by the given information. 7. Chapter 13: 13.17 Note: please keep a copy of this last homework assignment in case you do not get it back before the final exam....
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This note was uploaded on 04/26/2010 for the course FIN FIN4160 taught by Professor Prof.chow during the Spring '09 term at CUHK.
- Spring '09