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(a). What are the deltas of the above call and put respectively? (b). Assuming that you intend to hold the stock with a protective put.

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(a). What are the deltas of the above call and put respectively?

(b). Assuming that you intend to hold the stock with a protective put. However, there is no such put available in the market. Show how can you create a synthetic protective put position without put.

Using the Blacks-Scholes Formula to find the value of a call option on the following stock. Assuming that you intend to hold the stock with a protective put. However, there is no such put available in the market. Show how can you create a synthetic protective put position without put.

SO T stock price 50 exercise price 50 risk free interest rate 3.0% X 0.50 0.5 time to expiration standard deviation (volatality) V = r put price=Xert Nl-d2) - S.N(-d1) co s0 N(d1) - Xe^(-4) N(d2) d1 = d2 = di - VTV2 di = d2= di - V* Tay2 In(S0/X) + (r+v^2/2))T v TAY In(S0/X) + (r+v^2/2))T v TAY dl= 0.07750000 0.353553391 0.2192031 d2 = -0.134350288 dl= 0.07750000 0.353553391 0.2192031 d2= -0.134350288 Ndi) N(0.2192) = 0.5867541 N(2) N(-0.13435) 0.4465628 N-01) N(-0.2192) 0.4132459 N-d2) N(0.13435) = 0.5534372 value of the option CO = SO N(di) - Xe^(-it) Nd2) value of the option put = Xen-rt N-d2) - S.N-d1) 29.337704 21.9957 20.6623 27.2599 $6.60 $ 7.34

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