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Unformatted text preview: The present value of $10.40 at the daily compounded risk-free rate is: PV = $10.40 / (1+ (0.06/365)) 365/2 = $10.093. The option price is the current value of the stock in the portfolio minus the PV of the payoff: V = 0.8($15) - $10.093 = $1.907 .$1.91. SOLUTION TO SPREADSHEET PROBLEMS 9-8 The detailed solution for the problem is available in the file Solution for FM12 Ch 09 P08 Build a Model.xls on the textbooks web site....
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This note was uploaded on 07/13/2011 for the course FIN 4414 taught by Professor Staff during the Spring '08 term at University of Florida.
- Spring '08