QUESTION 2.3 poin1. Consider the case of Hurgeon IHM cell and put options cat have exercise price of $110 and expire in two months. The price of the call iss, and the price of the put is $10. Assume I expected to pay na dividend in the next two mandha. Suppose also that the current price of IHM stock is $95. Portfolio A. SO IDM slock, sell a pur, and buy a call Porta RT 2-1. Busclun pul all prcity, costrucl purifolio Busal to Portfolio A. Specify the stralugs. salurity and fixe-value Puntolio B - QUESTION 3. [4 points CISCO CEOhes 15 million shares of stocks and 10 million shares of opcions (of CISCO). The stock chum volatility (r) 0.495, dividend yield (d) is 13.0), riskli aler) is 01.01, and maturity (T) is 18 years Following use showa stack price of CIXC during 2013 Dato Jan. red. Mar. pr. May Jun Jul. Aug Sep Oct Nov Dec Price For Questions 1-1 tarvugh 2-1, suppose that options were granted out-of-munky by $1 in May 2015. 3-1. Find uptice's delts as of December 2015 2-2. What is the cost of Portfolio A & B loday? Wat is bepuftor Podolio Astibe mucily? Bool-wall yield on 2 tau-month T-ball is 10% omnnuslized. Cast of Portfolio A today- Cast of Portfolio Binday- Peyoff of Portfolio A at the maturity Peporter Portfolio 1 t the maturity - 3-2. Find increase in CEO wealth for $1 increase in CISCO's strok price as of December 2015 3-3. Suppose that CISCO cool that tbx uptives and to the CEO May 2015 were actually led out-of- money by l in Septemix 2015. How mach in terms of dollar amount) and the CEO gain by misreporting the option granting date by cath! 23. Aprofitable arbitrage stegy is to kung way and shared (Y) this year and hold this position until next yes. Choose the folsleslegis (Staley Aur Strategy B) in a blank (X) (Y) 8. (X):A (Y) AX):R.(YJA (X) A(Y)A (X), (*): c. 10 arhitrage opportunity exist 3-4. The economic meaning of option(X) the change in opciom price for a unit increase ir volatility. Fill in the (X). QUESTION 2.3 poin1. Consider the case of Hurgeon IHM cell and put options cat have exercise price of $110 and expire in two months. The price of the call iss, and the price of the put is $10. Assume I expected to pay na dividend in the next two mandha. Suppose also that the current price of IHM stock is $95. Portfolio A. SO IDM slock, sell a pur, and buy a call Porta RT 2-1. Busclun pul all prcity, costrucl purifolio Busal to Portfolio A. Specify the stralugs. salurity and fixe-value Puntolio B - QUESTION 3. [4 points CISCO CEOhes 15 million shares of stocks and 10 million shares of opcions (of CISCO). The stock chum volatility (r) 0.495, dividend yield (d) is 13.0), riskli aler) is 01.01, and maturity (T) is 18 years Following use showa stack price of CIXC during 2013 Dato Jan. red. Mar. pr. May Jun Jul. Aug Sep Oct Nov Dec Price For Questions 1-1 tarvugh 2-1, suppose that options were granted out-of-munky by $1 in May 2015. 3-1. Find uptice's delts as of December 2015 2-2. What is the cost of Portfolio A & B loday? Wat is bepuftor Podolio Astibe mucily? Bool-wall yield on 2 tau-month T-ball is 10% omnnuslized. Cast of Portfolio A today- Cast of Portfolio Binday- Peyoff of Portfolio A at the maturity Peporter Portfolio 1 t the maturity - 3-2. Find increase in CEO wealth for $1 increase in CISCO's strok price as of December 2015 3-3. Suppose that CISCO cool that tbx uptives and to the CEO May 2015 were actually led out-of- money by l in Septemix 2015. How mach in terms of dollar amount) and the CEO gain by misreporting the option granting date by cath! 23. Aprofitable arbitrage stegy is to kung way and shared (Y) this year and hold this position until next yes. Choose the folsleslegis (Staley Aur Strategy B) in a blank (X) (Y) 8. (X):A (Y) AX):R.(YJA (X) A(Y)A (X), (*): c. 10 arhitrage opportunity exist 3-4. The economic meaning of option(X) the change in opciom price for a unit increase ir volatility. Fill in the (X)
