hw3_Derivatives_2

hw3_Derivatives_2 - 20-4 70-25 21-4 less than K, and long...

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20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 -30 -20 -10 0 10 20 30 Column B Column D Column F
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Option cost 5 Option cost 4 x1 40 x2 45 St St T1 0 T2 0.33 sell x1 buy x2 3MONS 4MON at expiry at expiry option price option price Payoff 20 5 -4 1 21 5 -4 1 22 5 -4 1 23 5 -4 1 24 5 -4 1 25 5 -4 1 26 5 -4 1 27 5 -4 1 28 5 -4 1 29 5 -4 1 30 5 -4 1 31 5 -4 1 32 5 -4 1 33 5 -4 1 34 5 -4 1 35 5 -4 1 36 5 -4 1 37 5 -4 1 38 5 -4 1 39 5 -4 1 40 5 -4 1 41 4 -4 0 42 3 -4 -1 43 2 -4 -2 44 1 -4 -3 45 0 -4 -4 46 -1 -3 -4 47 -2 -2 -4 48 -3 -1 -4 49 -4 0 -4 50 -5 1 -4 51 -6 2 -4 52 -7 3 -4 53 -8 4 -4 54 -9 5 -4 55 -10 6 -4 56 -11 7 -4 57 -12 8 -4 58 -13 9 -4 59 -14 10 -4 60 -15 11 -4 61 -16 12 -4 62 -17 13 -4 63 -18 14 -4
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64 -19 15 -4 65 -20 16 -4 66 -21 17 -4 67 -22 18 -4 68 -23 19 -4 69 -24
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Unformatted text preview: 20-4 70-25 21-4 less than K, and long expiration why cheapr increase expiration inc option increase K for call, dec option Asset Price 20.000 Exercise Price 40.000 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 #REF! d1 #REF! d2 #REF! Compute 2: N(d1) #REF! #REF! N(d2) #REF! N ' (d1)...
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hw3_Derivatives_2 - 20-4 70-25 21-4 less than K, and long...

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