hw3 - Problem 1 u d r 1.35 p_u 0.8 p_d 1.0081648 100 Call...

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Unformatted text preview: Problem 1 u d r 1.35 p_u 0.8 p_d 1.0081648 100 Call option 100 135 80 182.25 108 64 100 135 80 182.25 108 64 15.295119 35.809872 3.0033306 82.25 8 0 15.30 35.81 3.00 82.25 8.00 - Replicating portfolios Delta_0 B V_0 Problem 2 Asset price Strike Time (weeks) Risf-free return Volatility Call price Put price Delta Borrowing Asset price Strike Time (years) Risf-free return Volatility Call price Put price Delta Borrowing Problem 3 u d r 0.3784815 0.6215185 1 52.0 50.0 12.9 0.11% 4.16% 0.5965 -44.35 15.30 4.5595 1.8463 0.6678 30.165533 1.0000 -99.19 35.81 x 0.4338 N(x) 0.6678 N(x2) 0.6120 0.1818 -11.54 3.00 N'(x) 0.3631 N(x) 0.6678 N(x2) 0.6120 N'(x) 0.3631 52.14 1.06 x 0.4338 1.1 0.95 1.05 121 p_u p_d Delta_d B_d V_d 1.00 4.5595 1.8463 0.6678 30.165533 52.0 50.0 0.247 6.00% 30.04% Delta_u B_u V_u 0.6666667 0.3333333 Minimum Lookback call 100 21 110 104.5 100 4.5 104.5 95 9.5 90.25 90.25 0 100 95 Lookback value 14.76 11.29 6.03 Problem 4 u d r 2 0.5 1.25 Stock p_u p_d 0.5 0.5 20 Derivative 1156 40 10 80 20 5 2720 170 6400 400 25 Delta 85 Bonds -544 100 25 -1280 -80 ...
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This note was uploaded on 11/25/2011 for the course BUSI 588 taught by Professor Staff during the Fall '10 term at UNC.

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