Question 37 Not yet answered You are given the following information on shares and European-style call and put options on BFC Ltd. BFC shares are currently trading at $20.00. Each option is over one share. Use the numbers exactly as given in the table below to do your calculations. Marked out of 3.00 Flag question Black Scholes Merton option price calculation stock price 20.00 20.00 strike price 20.00 21.00 interest rate 0.040 0.040 volatility 0.200 0.200 time to maturity (years) 0.500 0.500 d1 0.212 -0.133 Nd1) 0.584 0.447 d2 0.071 -0.274 N(2) 0.528 0.392 BSM call option 1.3254 0.8754 N(-d1) 0.4160 0.5529 N(-d2) 0.4718 0.6081 BSM put option 0.9294 1.4596 delta(Call) 0.5840 0.4471 delta(Put) -0.4160 -0.5529 gamma 0.1379 0.1398 vega(answer in cents) 5.5164 5.5923| vega(answer in cents) 5.5164 5.5923 theta call -1.5175 -1.4412 theta put -0.7333 -0.6178 5.1773 4.0338 rho(call)(answer in cents) rho(put)(answer in cents) Answer the following questions. -4.6247 -6.2583 1. You construct a portfolio consisting of 1500 long call options at an exercise price of $21.00 and 1000 short put options at an exercise price of $20.00 over BFC shares. The cost to set the portfolio up is $ Give your answer correct to 2 decimal places or your answer will be incorrect. 2. The delta of your portfolio of options (constructed in part 1) is Give your answer correct to 2 decimal places or your answer will be incorrect. Ignore the portfolio you have created in parts 1. and 2. of this question. 3. You now want to construct a gamma neutral portfolio using only the 1500 long call options (strike = $21) and a position in the put options (Strike = $20). In order to achieve this you must establish a . position in put options to make your portfolio gamma neutral. (Here write the number of put options to the nearest whole number). 4. But your aim is to achieve a delta neutral and gamma neutral portfolio. You therefore want to make the portfolio constructed in part 3 delta neutral by adding the appropriate position in shares to your portfolio. You must add a position in shares to the portfolio of options. (Here write the number of shares rounded Question 37 Not yet answered You are given the following information on shares and European-style call and put options on BFC Ltd. BFC shares are currently trading at $20.00. Each option is over one share. Use the numbers exactly as given in the table below to do your calculations. Marked out of 3.00 Flag question Black Scholes Merton option price calculation stock price 20.00 20.00 strike price 20.00 21.00 interest rate 0.040 0.040 volatility 0.200 0.200 time to maturity (years) 0.500 0.500 d1 0.212 -0.133 Nd1) 0.584 0.447 d2 0.071 -0.274 N(2) 0.528 0.392 BSM call option 1.3254 0.8754 N(-d1) 0.4160 0.5529 N(-d2) 0.4718 0.6081 BSM put option 0.9294 1.4596 delta(Call) 0.5840 0.4471 delta(Put) -0.4160 -0.5529 gamma 0.1379 0.1398 vega(answer in cents) 5.5164 5.5923| vega(answer in cents) 5.5164 5.5923 theta call -1.5175 -1.4412 theta put -0.7333 -0.6178 5.1773 4.0338 rho(call)(answer in cents) rho(put)(answer in cents) Answer the following questions. -4.6247 -6.2583 1. You construct a portfolio consisting of 1500 long call options at an exercise price of $21.00 and 1000 short put options at an exercise price of $20.00 over BFC shares. The cost to set the portfolio up is $ Give your answer correct to 2 decimal places or your answer will be incorrect. 2. The delta of your portfolio of options (constructed in part 1) is Give your answer correct to 2 decimal places or your answer will be incorrect. Ignore the portfolio you have created in parts 1. and 2. of this question. 3. You now want to construct a gamma neutral portfolio using only the 1500 long call options (strike = $21) and a position in the put options (Strike = $20). In order to achieve this you must establish a . position in put options to make your portfolio gamma neutral. (Here write the number of put options to the nearest whole number). 4. But your aim is to achieve a delta neutral and gamma neutral portfolio. You therefore want to make the portfolio constructed in part 3 delta neutral by adding the appropriate position in shares to your portfolio. You must add a position in shares to the portfolio of options. (Here write the number of shares rounded