hw3_Derivatives_#3

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

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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 payoff 35 5 -4 0.01 0.01 1 5.01 36 5 -4 0.02 0.02 1 5.02 37 5 -4 0.04 0.04 1 5.04 38 5 -4 0.08 0.08 1 5.08 39 5 -4 0.15 0.15 1 5.15 40 5 -4 0.25 0.25 1 5.25 41 4 -4 0.41 0.41 0 4.41 42 3 -4 0.64 0.64 -1 3.64 43 2 -4 0.94 0.94 -2 2.94 44 1 -4 1.33 1.33 -3 2.33 45 0 -4 1.80 1.80 -4 1.80 46 -1 -3 2.37 3.37 -4 1.37 47 -2 -2 3.01 5.01 -4 1.01 48 -3 -1 3.73 6.73 -4 0.73 49 -4 0 4.51 8.51 -4 0.51 50 -5 1 5.35 10.35 -4 0.35 51 -6 2 6.23 12.23 -4 0.23 52 -7 3 7.14 14.14 -4 0.14 53 -8 4 8.08 16.08 -4 0.08 54 -9 5 9.03 18.03 -4 0.03 55 -10 6 10.00 20.00 -4 0.00
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increase expiration inc option increase K for call, dec option Asset Price 20.000 Exercise Price 45.000 Risk-Free Rate (%) 4.50% Current Yield (%) 4.00% Time to Expiration (yrs) 0.250 Volatility (%) 20.00% ***Internal Computations*** Compute 1: Yield-Adj. Asset Price
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This note was uploaded on 12/14/2011 for the course FIN 5515 taught by Professor Staff during the Spring '10 term at FSU.

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

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