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Consider the following portfolio: Buy one call option contract for 1 0 0 shares on a non - dividend paying stock with a strike price
Consider the following portfolio: Buy one call option contract for shares on a nondividend paying stock with a strike price of $ with maturity in months. Short sell shares of the same stock. Enter into a forward contract to buy shares in months. The current stock price is $ The riskfree interest rate is per annum and the stock price volatility is per annum.
a Calculate the value of the portfolio at
b Calculate the payoff and profits of the portfolio at months respectively as a function of the spot stock price. Draw the payoff diagrams for each of the times.
c Compute all the Greeks Delta Gamma, Theta, Vega, Rho for the portfolio at
Consider a nondividendpaying stock with a current price of The market prices for European call options on this stock with different strike prices and the same maturity of months are given below. The riskfree interest rate is per annum.
tableStrike Price Market Price of Call Option
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