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Please use the following information for European options to answer Q8 to 29. Stock price: 241.4 Interest rate: 0.5% Time to maturity: 3 months Dividends:
Please use the following information for European options to answer Q8 to 29. Stock price: 241.4 Interest rate: 0.5% Time to maturity: 3 months Dividends: 0 Volatility: 10% (annualized) Type Call Put Strike Premium 245 3.20 235 0.75 09. a) Please construct a synthetic long position. b) Please estimate the break-even point for the synthetic long position. c) What are the differences between a synthetic long position and a long position on a stock? d) If the hot-to-borrow rate (rebate rate) is -7%, please construct a delta-neutral strategy to take advantage of the discrepancy between options and spot markets. Please use the following information for European options to answer Q8 to 29. Stock price: 241.4 Interest rate: 0.5% Time to maturity: 3 months Dividends: 0 Volatility: 10% (annualized) Type Call Put Strike Premium 245 3.20 235 0.75 09. a) Please construct a synthetic long position. b) Please estimate the break-even point for the synthetic long position. c) What are the differences between a synthetic long position and a long position on a stock? d) If the hot-to-borrow rate (rebate rate) is -7%, please construct a delta-neutral strategy to take advantage of the discrepancy between options and spot markets
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