ECON1452 PS4

ECON1452 PS4 - Call price, C0 Put price, P0 4.5 6.8...

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Unformatted text preview: Call price, C0 Put price, P0 4.5 6.8 Exercise price, X 70 1 Days to expiration 39 Current stock price, S0 67.3 Risk free rate, r5.00% Long call Short call Long put Short put Payoff Profit Payoff Profit Payoff Profit Payoff Profit 48 0 ­4.5 0 4.5 22 15.2 ­22 ­15.2 50 0 ­4.5 0 4.5 20 13.2 ­20 ­13.2 52 0 ­4.5 0 4.5 18 11.2 ­18 ­11.2 54 0 ­4.5 0 4.5 16 9.2 ­16 ­9.2 56 0 ­4.5 0 4.5 14 7.2 ­14 ­7.2 58 0 ­4.5 0 4.5 12 5.2 ­12 ­5.2 60 0 ­4.5 0 4.5 10 3.2 ­10 ­3.2 62 0 ­4.5 0 4.5 8 1.2 ­8 ­1.2 64 0 ­4.5 0 4.5 6 ­0.8 ­6 0.8 66 0 ­4.5 0 4.5 4 ­2.8 ­4 2.8 68 0 ­4.5 0 4.5 2 ­4.8 ­2 4.8 70 0 ­4.5 0 4.5 0 ­6.8 0 6.8 72 2 ­2.5 ­2 2.5 ­2 ­8.8 2 8.8 74 4 ­0.5 ­4 0.5 ­4 ­10.8 4 10.8 76 6 1.5 ­6 ­1.5 ­6 ­12.8 6 12.8 78 8 3.5 ­8 ­3.5 ­8 ­14.8 8 14.8 20 15 10 5 0 -5 -10 -15 -20 45 50 55 60 65 70 75 80 Column C Column E Column G Column I St ...
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This note was uploaded on 10/21/2010 for the course ECON 1452 taught by Professor Watson during the Spring '10 term at Harvard.

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