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
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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
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f 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
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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%
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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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This note was uploaded on 02/14/2011 for the course FINANCE 620 taught by Professor Halstead during the Fall '09 term at UMBC.

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sample_excel_sol_chapter_22 - Chapter 22 Problems 1-38...

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