Ch%2016_p5

Ch%2016_p5 - Problem 5 CH 16 1 2 3 4 5 6 7 8 9 10 11 12 13...

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Problem 5 CH 16 Page 1 Chapter 16 Problem 5 Current Price 56 Exercise Price 50 Growth rate 0.12 Volatility 0.3 Risk-free rate 0.08 Duration 1 Pricing Put Valuing portfolio Stock price 1 year later #ADDIN? Stock price 1 year later #ADDIN? Put Value 1 yr #ADDIN? Put value 1 year later #ADDIN? Discounted put value #ADDIN? Portfolio Value 1 year later #ADDIN? Original Portfolio Value 58.38 Percentage Increase in portfolio #ADDIN? Percentage Increase in stock #ADDIN? Note that with a "put" our portfolio cannot lose more than 14%;without put we can lose 60%. This is why the Summary Information Workbook Name Ch 16_p5.xls Number of Simulations 1 Number of Iterations 400 Number of Inputs 2 Number of Outputs 3 Sampling Type Latin Hypercube Simulation Start Time 4/6/2010 12:00 Simulation Stop Time 4/6/2010 12:00 Simulation Duration 00:00:00 Random Seed 1448131008 Output Statistics Name Cell Minimum Mean Maximum x1 p1 x2 p2 Discounted put value B13 0 2.38 24.17 0 5% 13.37 95% Percentage Increase in portfolio / Valuing portfolio D15 -0.14 0.12 1.5 -0.14 5% 0.69
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This note was uploaded on 05/09/2010 for the course MD 605 taught by Professor Silks during the Fall '10 term at box.

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Ch%2016_p5 - Problem 5 CH 16 1 2 3 4 5 6 7 8 9 10 11 12 13...

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