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sample_excel_sol_chapter_22

# sample_excel_sol_chapter_22 - Chapter 22 Problems 1-38...

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Chapter 22 Problems 1-38 Input boxes in tan Output boxes in yellow Given data in blue Calculations in red Answers in green NOTE: Some functions used in these spreadsheets may require that the "Analysis ToolPak" or "Solver Add-in" be installed in Excel. To install these, click on "Tools|Add-Ins" and select "Analysis ToolPak and "Solver Add-In."

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Chapter 22 Question 1 Input Area: T-bills 5.5% Share price \$55 Price won't drop below: \$50 a. Exercise price on a call: \$45 b. Exercise price on a call: \$35 c. Exercise price on a put: \$40 Output Area: a. Call value \$12.35 Intrinsic value \$10.00 b. Call value \$21.82 Intrinsic value \$20.00 c. Put value \$- There is no possiblity that the put will finish in the money. Intrinsic value = \$0.

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Chapter 22 Question 3 Input Area: Calls Option Strike Price Expiration Volume Last Macrosoft 114 110 Feb 85 7.60 114 110 Mar 61 8.80 114 110 May 22 10.25 114 110 Aug 3 13.05 a. Contracts bought 10 Feb call \$110 Aug put \$110 b. Share price \$140 Share price \$125 c. Contracts bought 10 Share price \$104 d. Contracts sold 10 Share price \$103 Share price \$132 Output Area: a. Price \$7,600.00 b. \$30,000 \$15,000 c. Initial cost \$4,700 Maximum gain \$105,300 Terminal value \$6,000 Net gain \$1,300 d. Option payoff \$(7.00) Net profit \$(2,300) Option payoff \$- S T S T
Net profit \$4,700 Break-even \$105.30 For terminal stock prices above \$105.30 , the writer of net profit.

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Puts Volume Last 40 0.60 22 1.55 11 2.85 3 4.70
the put option makes a

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Chapter 22 Question 5 Input Area: Low stock price \$60 High stock price \$80 T-bills 5% a. Current price \$70 Exercise price \$45 b. Exercise price \$70 Output Area: a. \$27.14 b. \$6.43 C 0 C 0
Chapter 22 Question 7 Input Area: Current stock price \$53 Put option \$4.89 Exercise price \$50 Expiration (months) 6 Risk-free rate 3.6% Output Area: Call price \$8.78

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Chapter 22 Question 9 Input Area: Current stock price \$65.80 Put option \$2.86 Call option \$4.08 Exercise price \$65 Expiration (months) 2 Output Area: Rate 3.89%
Chapter 22 Question 11 Input Area: Current stock price \$86 Exercise price \$90 Expiration (months) 8 Risk-free rate 4% Standard deviation 62% Output Area: 0.2160 (0.2902) 0.5855 0.3858 Call \$16.54 Put \$18.18 d 1 d 2 N(d 1 ) N(d 2 )

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