Question
Data: S 0 = 101; X = 114; 1 + r = 1.12. The two possibilities for S T are 143 and 85. a. The
Data: S0 = 101; X = 114; 1 + r = 1.12. The two possibilities for ST are 143 and 85.
a. The range of S is 58 while that of P is 29 across the two states. What is the hedge ratio of the put? (Round your answer to 2 decimal places. Negative value should be indicated by a minus sign.)
b. Form a portfolio of one share of stock and two puts. What is the (nonrandom) payoff to this portfolio?
c. What is the present value of the portfolio? (Round your answer to 2 decimal places.)
d. Given that the stock currently is selling at 101, calculate the put value. (Do not round intermediate calculations. Round your answer to 2 decimal places.)
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Technical Analysis Of Stock Trends
Authors: Robert D. Edwards, John Magee
1st Edition
1607962233, 978-1607962236
