Homework 3

Homework 3 - Option 1.) a.) b.) c.) 600 $22,800.00...

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Option 1.) 600 6 7 4200 a.) $22,800.00 $18,600.00 b.) $25,200.00 $21,000.00 c.) $7,560.00 $6,480.00 2.) Value of equity is V=max(A-K,0) This is just a call option Debt is equal to in 1 year K This is just the strike price of the fi Bondholders get min(A,K) K-MAX(K-A,0) This is equal to strike price - put Value of the Firm is then equity plus debt A=max(A-K) + Ke(-rt)-max(K-A,0) or So=C+Ke(-rt)-P 3.) -14 -12 -10 -8 -6 -4 -2 0 2 4 6 40.00 45.00 50.00 55.00 60.00 Asset Price Option Price
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firm -6 -4 -2 0 2 4 6 40.00 42.00 44.00 46.00 48.00 50.00 52.00 54.00 56.00 58.00 60.00 Asset Price Option Price
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60 80 100 120 140 160 180 -10% 0% 10% 20% 30% 40% 50% 60% 70% Column X Column U
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Symbol Last Change Bid Ask Volume Open Int Symbol Last 85.4 0 N/A N/A 10 3,830 60 76.2 0 N/A N/A 2 4,152 65 75.9 0 N/A N/A 10 2,548 70 71.1 0 N/A N/A 493 3,149 75 63.3 0 N/A N/A 0 1,151 80 61.6 0 N/A N/A 493 1,277 85 54.3 0 N/A N/A 0 61 88 51.2 0 N/A N/A 15 1,294 90 0 0 N/A N/A 0 0 91 0 0 N/A N/A 0 0 92 47.7 0 N/A N/A 0 261 95 46 0 N/A N/A 3 3 96 44.9 0 N/A N/A 5 5 97 0 0 N/A N/A 0 0 98 46.5 0 N/A N/A 1 1,064 100 42.1 0 N/A N/A 0 200 101 0 0 N/A N/A 0 0 103 40.7 0 N/A N/A 50 2,823 105 35.7 0 N/A N/A 0 101 108 34.8 0 N/A N/A 50 131 109 33.1 0 N/A N/A 4 11,618 110 0 0 N/A N/A 0 0 111 35.7 0 N/A N/A 55 101 112 31.2 0 N/A N/A 30 301 113 35 0 N/A N/A 50 60 114 30.45 0 N/A N/A 1,500 9,220 115 28.6 0 N/A N/A 0 111 116 27.7 0 N/A N/A 0 292 117 26.9 0 N/A N/A 46 110 118 23.9 0 N/A N/A 10 229 119 23.9 0 N/A N/A 10 229 119 27.9 0 N/A N/A 20 113 119 27.9 0 N/A N/A 20 113 119 24.75 0 N/A N/A 3 8,337 120 24.75 0 N/A N/A 3 8,337 120 23.1 0 N/A N/A 0 0 120 23.1 0 N/A N/A 0 0 120 22.3 0 N/A N/A 90 160 121 22.3 0 N/A N/A 90 160 121 22.05 0 N/A N/A 0 30 121 22.05 0 N/A N/A 0 30 121 21.5 0 N/A N/A 70 270 122 21.5 0 N/A N/A 70 270 122 21.05 0 N/A N/A 0 35 122 21.05 0 N/A N/A 0 35 122 20.7 0 N/A N/A 20 880 123 20.7 0 N/A N/A 20 880 123 20.7 0 N/A N/A 20 880 123 20.05 0 N/A N/A 0 20 123 20.05 0 N/A N/A 0 20 123 20.05 0 N/A N/A 0 20 123 16.4 0 N/A N/A 0 0 123 SWVLH.X SWVXH.X SWVLM.X SWVXM.X SZCLR.X SZCXR.X SZCLW.X SZCXW.X SZCLB.X SZCXB.X SZCLG.X SZCXG.X SZCLJ.X SZCXJ.X SWGLL.X SWGXL.X SWGLM.X SWGXM.X SWGLN.X SWGXN.X SWGLQ.X SWGXQ.X SWGLR.X SWGXR.X SWGLS.X SWGXS.X SWGLT.X SWGXT.X SWGLV.X SWGXV.X SWGLW.X SWGXW.X SWGLY.X SWGXY.X SWGLA.X SWGXA.X SWGLD.X SWGXD.X SWGLE.X SWGXE.X SPYLF.X SPYXF.X SPYLG.X SPYXG.X SPYLH.X SPYXH.X SPYLI.X SPYXI.X SPYLJ.X SPYXJ.X SPYLK.X SPYXK.X SPYLL.X SPYXL.X SPYLM.X SPYXM.X SPYLN.X SPYXN.X SPYLO.X RQQXO.X SPYLO.X SPYXO.X RQQLO.X RQQXO.X RQQLO.X SPYXO.X SPYLP.X RQQXP.X SPYLP.X SPYXP.X RQQLP.X RQQXP.X RQQLP.X SPYXP.X SPYLQ.X RQQXQ.X SPYLQ.X SPYXQ.X RQQLQ.X RQQXQ.X RQQLQ.X SPYXQ.X SPYLR.X RQQXR.X SPYLR.X SPYXR.X RQQLR.X RQQXR.X RQQLR.X SPYXR.X SPYLS.X RQQXS.X SPYLS.X SPYXS.X SPYLS.X YAZXS.X RQQLS.X RQQXS.X RQQLS.X SPYXS.X RQQLS.X YAZXS.X YAZLS.X RQQXS.X
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16.4 0 N/A N/A 0 0 123 19.9 0 N/A N/A 80 100 124 19.9 0 N/A N/A 80 100 124 19.9 0 N/A N/A 80 100 124 19.05 0 N/A N/A 0 0 124 19.05 0 N/A N/A 0 0 124 0 0 N/A N/A 0 0 124 0 0 N/A N/A 0 0 124 19.8 0 N/A N/A 2 8,996 125 19.8 0 N/A N/A 2 8,996 125 19.8 0 N/A N/A 2 8,996 125 21.7 0 N/A N/A 155 156 125 21.7 0 N/A N/A 155 156 125 21.7 0 N/A N/A 155 156 125 19 0 N/A
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Homework 3 - Option 1.) a.) b.) c.) 600 $22,800.00...

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