Question
Can you help with problem 3.2? 3.2 Suppose that you short the S&R index for $1000 and sell a 1000-strike put. Construct a table mimicking
Can you help with problem 3.2? 3.2 Suppose that you short the S&R index for $1000 and sell a 1000-strike put. Construct a table mimicking Table 3.1 that summarizes the payoff and profit of this position. Verify that your table matches Figure 3.5. For the following problems assume the effective 6-month interest rate is 2%, the S&R 6- month forward price is $1020, and use these premiums for S&R options with 6 months to expiration:
In the solitions here, the solutions from 3.1 and 3.2 is the same. i dont know if that is right. Also in this solution here is no graf.
\begin{tabular}{rrr} Strike & \multicolumn{1}{c}{ Call } & \multicolumn{1}{c}{ Put } \\ $950 & $120.405 & $51.777 \\ 1000 & 93.809 & 74.201 \\ 1020 & 84.470 & 84.470 \\ 1050 & 71.802 & 101.214 \\ 1107 & 51.873 & 137.167 \end{tabular}Step by Step Solution
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