PS9_Options

# PS9_Options - Problem 1 The Wall Street Journal reported...

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v. Sell one share and buy a call with X=\$70 vi. Buy one call with X=\$50 and another one with X=\$70. Write (sell) 2 calls with X=\$60 vii. Buy one put with X=\$50 and another one with X=\$70. Write (sell) 2 puts with X=\$60 1.d If the risk free rate of interest (continuously compounded) is 5%, does put-call parity hold for the April options with X=\$50, X=\$60 and X=\$65? Make your calculations based on 71 days to maturity, assuming 365 day year 1.e Examine portfolios (iii) and (iv) from part 1.c. Which one is more expensive? Use put-call parity
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