Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

15.a. In theory, what is the cost of a synthetic short position in Netflix? Assume you want to establish this position when S0=$600 which was

image text in transcribed

15.a. In theory, what is the cost of a synthetic short position in Netflix? Assume you want to establish this position when S0=$600 which was the actual stock price around 1yr ago (September-October '21). Discount rate of 15\%. 6 month contract. You want this position on roughly \$1mm notional value which means you need 17 contracts. Remember a cash escrow account is a cost if you need to sell an uncovered option to execute this trade. 25% volatility. 15.b. Using the put and call prices from part Q15.a, 6 months later the stock closed at $375.A) What is the payoff in $ s on the option strategy and B) what is the holding period return

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Production And Operations Analysis

Authors: Steven Nahmias

6th Edition

0073377856, 9780073377858

More Books

Students also viewed these Finance questions