Question
1) Given that all else is the same for the two options except for the strikes listed which option will have a higher value? a)
1) Given that all else is the same for the two options except for the strikes listed which option will have a higher value?
a) Put with a strike of 19 or
b) Put with a strike of 20 b.
2) Given that the 9-month forward is trading at 20 and the Call Option with a strike price of 19 is trading at 3, what is your estimate for the price of the 19 Put assuming interest rates are 0%?
3) If you consider very high annual interest rates of 30% compounded monthly, what is your new estimate of the price of the 19 Put when the 9-month forward is trading at 20 and the Call Option with a strike price of 19 is trading at 3?
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Active Value Investing Making Money In Range Bound Markets
Authors: Vitaliy N. Katsenelson
1st Edition
0470053151, 978-0470053157
