10. An investor has a diversified portfolio of shares on the Spanish stock market, belonging to the |BEX35 index and valued at 1,000,000. Given the slow overall economic evolution, investors fear a decline on the future evolution of the stock market. For that reason, the investors want to protect his portfolio against a fall on the market. Assume that the |BEX35 is nowadays in 8,500. a. Design strategies to hedge the risk. b. Calculate the return obtain in 3 months ifthe |BEX35 i. fall to 8,235 ii. Same if rise to 8,900 Assume that a put |BEX35 at 8,500 cost a premium of 1.5 and a call at 8,500 cost 1. The market multiplier for the options is 1 (MinilBEX35) and for the futures is 10 (IBEX35). 11. Assume that the same investor decides instead of using options to use futures to hedge his portfolio. Assuming that on the current date, the Future ofthe IBEX-35 is trading at 8,500, calculate the return he would get for each of the consecutive days and the settlement of the contract if the IBEX35: a. Closes on day 1 with a value of 8,547 b. Closes on day 2 with a value of 8,612 c. Closes on day 3 with a value of 8,495 d. At 12:00 on the 4th day, decides to close his position at 8,301 12. Assume that an specific share worth $40 today (S_0). One period ahead (S_1), this share will have a value of 25% more or 25% less. An investor decides to purchase a call option with a strike price of $40. Knowing that the risk-free rate is 3%, calculate the value ofthe option following the neutral risk assessment approach