Question
Barcelonaholdsaportfoliothatincludes:alongcallwithaKexerciseprice,ashortpositiononastockwithapriceofS0,and alongpositiononrisk-freebondswitha facevalueofK.Bondsandcallmatureonthesamedate.Barcelonawantstoassessthevalueoftheportfolio.YoutellBarcelonathattheportfolioisworth, C+P-K(1+r)^-T C+So-K(1+r)^-T P-K C-So+K(1+r)^-T
Barcelonaholdsaportfoliothatincludes:alongcallwithaKexerciseprice,ashortpositiononastockwithapriceofS0,and alongpositiononrisk-freebondswitha facevalueofK.Bondsandcallmatureonthesamedate.Barcelonawantstoassessthevalueoftheportfolio.YoutellBarcelonathattheportfolioisworth,
C+P-K(1+r)^-T
C+So-K(1+r)^-T
P-K
C-So+K(1+r)^-T
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Principles of Managerial Finance
Authors: Lawrence J. Gitman, Chad J. Zutter, Wajeeh Elali, Amer Al Roubaix
Arab World Edition
