hw3_Derivatives_#3-2

hw3_Derivatives_#3-2 - Option cost Option cost 5 4 x1 St T1...

Info iconThis preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon
x1 40 x2 45 Option cost 5 St St Option cost 4 T1 0 T2 0.25 0_MONS 4_MONS sell x1 buy x2 at expiry at expiry Diagonal Spread option priceoption price BSOPM Value: Payoff Profit payofProfit of X2Profit of X2 35 5 -4 0.01 0.01 1 5.01 -3.99 1.01 36 5 -4 0.02 0.02 1 5.02 -3.98 1.02 37 5 -4 0.04 0.04 1 5.04 -3.96 1.04 38 5 -4 0.08 0.08 1 5.08 -3.92 1.08 39 5 -4 0.15 0.15 1 5.15 -3.85 1.15 40 5 -4 0.25 0.25 1 5.25 -3.75 1.25 41 4 -4 0.41 0.41 0 4.41 -3.59 0.41 42 3 -4 0.64 0.64 -1 3.64 -3.36 -0.36 43 2 -4 0.94 0.94 -2 2.94 -3.06 -1.06 44 1 -4 1.33 1.33 -3 2.33 -2.67 -1.67 45 0 -4 1.80 1.80 -4 1.80 -2.20 -2.20 46 -1 -3 2.37 3.37 -4 1.37 -1.63 -2.63 47 -2 -2 3.01 5.01 -4 1.01 -0.99 -2.99 48 -3 -1 3.73 6.73 -4 0.73 -0.27 -3.27 49 -4 0 4.51 8.51 -4 0.51 0.51 -3.49 50 -5 1 5.35 10.35 -4 0.35 1.35 -3.65 51 -6 2 6.23 12.23 -4 0.23 2.23 -3.77 52 -7 3 7.14 14.14 -4 0.14 3.14 -3.86 53 -8 4 8.08 16.08 -4 0.08 4.08 -3.92 54 -9 5 9.03 18.03 -4 0.03 5.03 -3.97 55 -10 6 10.00 20.00 -4 0.00 6.00 -4.00 35 36 37 38 39 -12 -10 -8 -6 -4 -2 0 2 4 6 8
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Image of page 2
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 12/14/2011 for the course FIN 5515 taught by Professor Staff during the Spring '10 term at FSU.

Page1 / 4

hw3_Derivatives_#3-2 - Option cost Option cost 5 4 x1 St T1...

This preview shows document pages 1 - 2. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online