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Unformatted text preview: 46 -7.44 -7.50 -7.49 -7.54 -7.52 -7.59 -7.56 -7.63 -7.60 -7.68 -7.64 -7.72 -7.68 -7.76 -7.71 -7.81 -7.75 -7.85 -7.78 -7.90 -7.82 -7.94 -7.85 -7.98 -7.89 -8.03 -7.92 -8.07 -7.95 -8.12 -7.98 -8.16 -8.01 -8.20 -8.04 -8.25 -8.07 -8.29 -8.10 -8.34 -8.13 -8.38 -8.16 -8.42 -8.19 -8.47 -8.21 -8.51 -8.24 -8.56 -8.27 -8.60 -8.29 -8.64 -8.32 -8.69 -8.34 -8.73 -8.36 -8.78 -8.38 -8.82 -8.41 -8.87 -8.43 -8.91 -8.45 -8.95 -8.47 -9.00 -8.49 -9.04 -8.51 -9.09 -8.53 -9.13 -8.54 -9.17 -8.56 -9.22 -8.58 -9.26 -8.59 -9.31 -8.61 -9.35 -8.62 -9.39 -8.64 -9.44 -8.65 -9.48 -8.66 -9.53 -8.68 -9.57 -8.69 -9.61 -8.70 -9.66 -8.71 -9.70 -8.72 -9.75 -8.73 -9.79 -8.74 -9.83 -8.74 Future V alue s for Option Portfolio 0 Full Valuation D elta-based Gamma-based -2 P o rtfo l i o V al ue . T (DTM) -4 -6 -8 -10 -12 85.00 87.50 90.00 92.50 95.00 Underlying Asset Price 97.50 100.00 102.50 105.00 107.50 110.00 112.50 115.00 Question 2 -1.27854 9 -0.9 00700 -1.271824 1.6 9 36 34 0.527308 0.4 6 3388 0.339 4 4 4 1.019 700 -0.713002 0.816 84 9 1.86 0553 0.006 005 1.14 4 4 22 -0.786 4 70 -0.4 04 4 6 1 -0.30159 3 1.235237 1.9 084 20 -0.6 16 4 25 0.52836 3 0.4 34 6 20 -0.9 29 4 19 -0.4 584 54 0.0174 04 -0.6 1079 2 -0.217153 0.14 5051 -0.355370 0.4 6 9 6 15 0.6 5234 9 0.0816 00 0.4 17031 0.36 034 6 -0.4 59 220 2.017514 0.207217 -1.13884 4 0.4 4 186 2 -1.4 086 4 4 0.354 230 -0.12814 1 0.09 2888 -0.288887 1.17774 3 1.85539 6 -0.22216 9 -0.389 316 0.54 89 71 -0.126 752 0.39 56 78 -0.06 004 9 -0.4 84 788 -1.84 8175 -0.700529 -1.15374 9 0.6 6 384 4 0.9 4 6 04 3 -1.01009 8 1.305516 0.26 8052 -1.06 74 35 -0.30079 3 0.57386 8 -0.36 884 8 -0.4 5014 3 0.09 204 3 -0.214 334 -0.6 12175 -0.6 9 84 78 -1.14 4 126 -1.359 9 9 0 2.504 312 -0.335720 -0.19 5819 1.834 833 0.6 37281 0.04 3733 1.83524 2 1.88259 0 -1.309 832 -0.89 5889 0.525374 1.054 809 -0.04 886 4 0.059 283 0.573777 -2.776 578 -0.84 6 032 1.54 1089 0.36 4 59 4 0.9 784 9 4 -1.102155 -0.4 9 34 10 0.35276 5 1.0216 31 -1.4 59 771 1.0226 6 3 -1.8839 4 6 -0.6 4 819 0 0.3334 54 0.120817 0.158129 -0.4 86 16 6 0.9 79 112 -0.4 9 3237 -0.5854 51 -0.9 1374 4 -0.4 9 254 6 0.3809 9 4 -2.0076 6 4 -0.02276 0 -1.339 072 -1.7759 16 0.16 7121 -0.002333 -1.534 354 1.24 84 6 8 -0.333778 1.1116 14 -1.78336 9 -0.9 6 89 10 1.6 6 7572 -1.4 4 5055 -0.16 09 18 0.154 79 8 1.302831 -0.114 6 54 0.275832 -0.27519 6 0.018858 1.05254 2 0.75374 4 -1.6 82502 2.86 1852 1.386 102 0.225776 -1.336 825 -0.157586 2.9 11111 -0.4 224 6 0 2.256 34 7 -0.76 7229 0.5076 30 0.6 51876 -0.1329 24 -0.816 74 2 -2.500819 -0.19 886 1 -0.26 504 0 -0.084 286 -1.1516 6 6 1.521571 0.19 254 5 0.4 29 832 0.9 9 154 2 -0.013503 0.74 4 731 -1.4 6 26 6 5 0.1859 25 -0.6 29 9 88 0.38576 9 -0.9 34 854 -1.6 78109 -0.4 86 59 6 -0.709 84 9 1.6 35558 0.14 1573 -0.9 26 9 4 8 -2.012275 0.6 04 534 1.230330 -1.6 4 6 736 0.4 21123 0.54 39 07 1.09 3770 0.256 9 6 6 -0.378857 -1.4 226 04 -0.071702 -0.20729 4 0.771856 0.7586 32 0.4 809 20 -1.4 86 4 87 0.6 21521 1.100752 1.04 4 723 0.83156 9 -0.4 71580 0.087357 0.6 36 719 0.9 86...
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This note was uploaded on 09/13/2013 for the course FINANCE 225 taught by Professor Aureliovasquez during the Winter '13 term at Instituto Tecnológico de Santo Domintgo.

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