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nswer all of the following questions in the Excel . For the following problems assume the effective 6-month interest rate is 2% (i.e., compute the
nswer all of the following questions in the Excel. For the following problems assume the effective 6-month interest rate is 2% (i.e., compute the future value) and use these premiums for S&R options with 6 months to expiration:
strike | call | put |
$950 | $120.405 | $51.777 |
$1,000 | $93.809 | $74.201 |
$1020 | $84.47 | $84.47 |
$1050 | $71.802 | $101.214 |
$1107 | $51.873 | $137.167 |
1. Suppose you short the S&R index for $1000 and buy a 950-strike call. Construct payoff and profit diagrams for this position. Verify that you obtain the same payoff and profit diagram by borrowing $931.37 and buying a 950-strike put.
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