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# Chapter 11 Suppose that the price of a non-dividend-paying stock is \$50, its volatility is 30%, and the risk free rate for all maturities is 10% per...

Chapter 11
Suppose that the price of a non-dividend-paying stock is \$50, its volatility is 30%, and the risk free rate for all maturities is 10% per annum. Use Derivagem to calculate the cost of setting up the following positions. Choose “Black-Scholes - European” for Option Type in D17 cell.

To answer the following questions, please provide a spreadsheet showing the relationship between profit and final stock price.
Hint: Use stock price ranges from \$30 to \$70 in \$1 increment.

Q1: A bull spread using European call options with strike prices of \$45 and \$50 and an
expiration of 6 months. (The call price for K=\$50 option should be \$5.453. If not, double check the parameters you used in Derivagem. If you still can’t manage to get the same price, ask for help.)

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