hw5 - Problem 1 Asset price Strike Time (years) Risf-free...

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Problem 1 Asset price 100.0 Strike 78.8 Time (years) 10.0 Risf-free return 10.00% 1.10 Dividend yield 0.00% 1.00 Volatility 20.00% Call price 70.0000 x 2.1996 Put price 0.3871 N(x) 0.9861 Delta 0.9861 N(x2) 0.9415 Gamma 0.0006 N'(x) 0.0355 Face value of debt 78.82 Yield 10.14% Value of debt 30.0 Asset price 99.0 Strike 78.8 Time (years) 10.0 Risf-free return 10.00% 1.10 Dividend yield 0.00% 1.00 Volatility 30.00% Call price 71.0770 x 1.7193 Put price 2.4641 N(x) 0.9572 Delta 0.9572 N(x2) 0.7795 Gamma 0.0010 N'(x) 0.0910 Equity value before 70.00 Equity value after 71.08 Asset price 99.0 Strike 85.9 Time (years) 10.0 Risf-free return 10.00% 1.10 Dividend yield 0.00% 1.00 Volatility 30.00% Call price 69.0000 x 1.6292 Put price 3.0998 N(x) 0.9484 Delta 0.9484 N(x2) 0.7519 Gamma 0.0011 N'(x) 0.1058 Face 85.85 Yield 11.09% Value of risky debt 30.00
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Problem 2 Asset price 200.0 Strike 250.0 Time (years) 1.0 Risf-free return 8.00% 1.08 Dividend yield 0.00% 1.00 Volatility 25.00% Call price 9.2618
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hw5 - Problem 1 Asset price Strike Time (years) Risf-free...

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