Practice Problems on Options

Practice Problems on Options - HAAS SCHOOL OF BUSINESS...

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H AAS S CHOOL OF B USINESS U NIVERSITY OF C ALIFORNIA AT B ERKELEY UGBA 103 A VINASH V ERMA P RACTICE P ROBLEMS ON O PTIONS 1. A non-dividend paying asset is currently valued at $100. Its value over the next period can go  up by a factor of 1.16 or go down by a factor of 0.96. The risk free rate is 4% per period. Price a one- period European put and a one-period European call on this asset with a strike price of $104, and  confirm that the European Put Call Parity (EPCP) holds. 2. A non-dividend paying asset is currently valued at $100. Its value over the next period can go  up by a factor of 1.25 or go down by a factor of 0.85. The risk free rate is 10% per period. Price a  one-period European put and a one-period European call on this asset with a strike price of $110,  and confirm that the European Put Call Parity (EPCP) holds. 3.
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This note was uploaded on 04/30/2010 for the course L&S 101 taught by Professor Chow during the Spring '10 term at Berkeley.

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Practice Problems on Options - HAAS SCHOOL OF BUSINESS...

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