hw4 - Problem 1 Asset price 1,313.5 Strike 1,350.0 Time...

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Unformatted text preview: Problem 1 Asset price 1,313.5 Strike 1,350.0 Time (years) 1.0 Risf-free return 5.00% 1.05 Dividend yield 2.00% 1.02 Volatility 14.62% x N(x) N(x2) N'(x) Call price 76.0000 0.0839 0.5334 0.4752 0.3975 Put price 73.9692 Delta 0.5334 Gamma 0.0021 Asset price 1,313.5 Strike 1,300.0 Time (years) 1.0 Risf-free return 5.00% 1.05 Dividend yield 2.00% 1.02 Volatility 14.62% x N(x) N(x2) N'(x) Call price 101.0582 0.3420 0.6338 0.5776 0.3763 Put price 51.4083 Delta 0.6338 Gamma 0.0020 Problem 2 Asset price 100.0 Asset price 100.0 Asset price 100.0 Strike 90.0 Strike 100.0 Strike 110.0 Time (years) 1.0 Time (years 1.0 Time (years 1.0 Risf-free return 5.00% 1.05 Risf-free ret 5.00% 1.05 Risf-free re 5.00% 1.05 Dividend yield 0.00% 1.00 Dividend yie 0.00% 1.00 Dividend yie 0.00% 1.00 Volatility 25.00% Volatility 25.00% Volatility 25.00% Call price 18.0693 x 0.7416 Call price 12.2751 x 0.3202 Call price 7.9784 x-0.0611 Put price 3.7836 N(x) 0.7708 Put price 7.5132 N(x) 0.6256 Put price 12.7403 N(x) 0.4756 Delta 0.7708 N(x2) 0.6885 Delta 0.6256 N(x2) 0.5280 Delta 0.4756 N(x2) 0.3779 Gamma 0.0121 N'(x) 0.3030 Gamma 0.0152 N'(x) 0.3790 Gamma 0.0159 N'(x) 0.3982 K=100 calls 30.0 K=90 put 10.0 Strike 90.0 100 110 Delta portfolio 16.4757 Delta 0.7708 0.6256 0.4756 Gamma portfolio 0.5760 Gamma 0.0121 0.0152 0.0159 n_c-21.3738 Gamma combined 0.3169 ni 1.7753 no-37.5154 Delta-neutral-1.17595E-012 Gamma-neutral 1.176836E-014 Asset priceStrike Time (yearsRisf-free retVolatility Call price Put price Delta call Gamma 1+rf x N(x) N(x2) N'(x) 30.0 100.0 0.1 10.00% 40.00% 0.0000 69.0514 0.0000 0.0000 1.10-9.3796 0.0000 0.0000 3.14E-020 31.0 100.0 0.1 10.00% 40.00% 0.0000 68.0514 0.0000 0.0000 1.10-9.1204 0.0000 0.0000 3.45E-019 32.0 100.0 0.1 10.00% 40.00% 0.0000 67.0514 0.0000 0.0000 1.10-8.8694 0.0000 0.0000 3.30E-018 33.0 100.0 0.1 10.00% 40.00% 0.0000 66.0514 0.0000 0.0000 1.10-8.6262 0.0000 0.0000 2.77E-017 34.0 100.0 0.1 10.00% 40.00% 0.0000 65.0514 0.0000 0.0000 1.10-8.3901 0.0000 0.0000 2.07E-016 35.0 100.0 0.1 10.00% 40.00% 0.0000 64.0514 0.0000 0.0000 1.10-8.1610 0.0000 0.0000 1.38E-015 36.0 100.0 0.1 10.00% 40.00% 0.0000 63.0514 0.0000 0.0000 1.10-7.9383 0.0000 0.0000 8.26E-015 37.0 100.0 0.1 10.00% 40.00% 0.0000 62.0514 0.0000 0.0000 1.10-7.7217 0.0000 0.0000 4.51E-014 38.0 100.0 0.1 10.00% 40.00% 0.0000 61.0514 0.0000 0.0000 1.10-7.5108 0.0000 0.0000 2.24E-013 39.0 100.0 0.1 10.00% 40.00% 0.0000 60.0514 0.0000 0.0000 1.10-7.3055 0.0000 0.0000 1.03E-012 40.0 100.0 0.1 10.00% 40.00% 0.0000 59.0514 0.0000 0.0000 1.10-7.1053 0.0000 0.0000 4.35E-012 41.0 100.0 0.1 10.00% 40.00% 0.0000 58.0514 0.0000 0.0000 1.10-6.9101 0.0000 0.0000 1.71E-011 42.0 100.0 0.1 10.00% 40.00% 0.0000 57.0514 0.0000 0.0000 1.10-6.7196 0.0000 0.0000 6.25E-011 43.0 100.0 0.1 10.00% 40.00% 0.0000 56.0514 0.0000 0.0000 1.10-6.5336 0.0000 0.0000 2.14E-010 44.0 100.0 0.1 10.00% 40.00% 0.0000 55.0514 0.0000 0.0000 1.10-6.3518 0.0000 0.0000 6.92E-010 45.0 100.0 0.1 10.00% 40.00% 0.0000 54.0514 0.0000 0.00000....
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hw4 - Problem 1 Asset price 1,313.5 Strike 1,350.0 Time...

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