Question 5 Not yet answered Marked out of 15.00 F Flag question TCS operate on a global scale, with diverse talent base of over 400,875 associates (including subsidiaries) representing 143 nationalities, across 46 countries as of 31-Aug-2021. Established in 1963, Tata Consultancy Services has grown to its current position as the #1 most powerful IT services brand based on our outstanding track record, long-term partnerships, collaborative innovation and corporate responsibility. Trader sells T03 3800 Strike PE & buy 3700 PE. If current spot price of T03 is 3791 with annualised volatility of 30.81% for current month. During the tenure of the option, T08 is expected to pay dividend of 3000% on face value of Rs. 1. 1 lot = 300. Calculate: a) Option premium using Black 8: Scholes model with Dividend b) Option Greeks such as Delta, Gamma, Vega, Theta 8. Rho. 1:) Apply upper end 8: lower end with confidence level of 80% d) Apply Up-Factor 8: Down Factor e) Prot 8: Loss pay off if TCS closed at {i} 3790 (ii) 3256 (iii) 3810 {iv} 4060 f] Draw the pay-off diagram of the strategy used by the trader highlighting the break-even point. Table entry Table entry for z is the area under the standard normal curve to the left of z. .00 .01 .02 .03 -04 .05 -06 07 -08 .09 0.0 .5000 .5040 .5080 .5120 .5160 .5199 .5239 .5279 .5319 .5359 0.1 .5398 .5438 5478 5517 5557 .5596 5636 .5675 .5714 .5753 0.2 .5793 .5832 .5871 .5910 5948 5987 .6026 .6064 .6103 6141 0.3 .6179 6217 6255 6293 6331 6368 6406 .6443 6480 6517 0.4 .6554 6591 6628 6664 6700 6736 6772 .6808 .6844 6879 0.5 .6915 6950 6985 .7019 7054 .7088 .7123 .7157 .7190 .7224 0.6 .7257 .7291 .7324 .7357 .7389 .7422 .7454 .7486 .7517 .7549 0.7 .7580 .7611 .7642 .7673 .7704 .7734 .7764 .7794 .7823 .7852 0.8 .7881 .7910 .7939 .7967 .7995 .8023 8051 .8078 .8106 .8133 0.9 .8159 8186 .8212 8238 8264 8289 8315 8340 8365 .8389 1.0 .8413 .8438 .8461 8485 .8508 8531 8554 .8577 8599 8621 1.1 .8643 8665 .8686 8708 8729 8749 8770 8790 8810 8830 1.2 .8849 .8869 8888 8907 .8925 .8944 8962 .8980 .8997 9015 1.3 .9032 9049 9066 9082 9099 .9115 .9131 9147 .9162 .9177 1.4 .9192 .9207 9222 .9236 9251 9265 .9279 .9292 .9306 .9319 1.5 .9332 9345 .9357 .9370 9382 9394 9406 .9418 9429 9441 1.6 .9452 9463 9474 9484 9495 .9505 .9515 .9525 .9535 9545 1.7 .9554 .9564 .9573 9582 9591 9599 .9608 9616 .9625 .9633 1.8 .9641 .9649 .9656 9664 .9671 9678 .9686 .9693 9699 .9706 1.9 .9713 .9719 9726 9732 9738 .9744 9750 .9756 .9761 .9767 2.0 .9772 .9778 9783 9788 .9793 9798 .9803 .9808 .9812 .9817 2.1 .9821 9826 .9830 .9834 9838 9842 9846 .9850 9854 .9857 2.2 .9861 9864 9868 9871 9875 9878 9881 9884 .9887 9890 2.3 9893 9896 .9898 9901 .9904 9906 9909 9911 9913 9916 2.4 .9918 .9920 .9922 .9925 .9927 9929 9931 9932 9934 9936 2.5 .9938 .9940 9941 9943 9945 .9946 9948 .9949 9951 9952 2.6 .9953 .9955 .9956 9957 .9959 .9960 .9961 .9962 9963 .9964 2.7 .9965 9966 9967 9968 9969 9970 .9971 .9972 .9973 .9974 2.8 9974 .9975 9976 .9977 .9977 9978 9979 9979 9980 9981 2.9 .9981 9982 9982 9983 9984 9984 9985 .9985 9986 9986 3.0 .9987 9987 .9987 9988 9988 9989 9989 .9989 9990 9990 3.1 .9990 9991 9991 9991 9992 .9992 .9992 .9992 9993 9993 3.2 .9993 9993 9994 9994 .9994 .9994 9994 .9995 9995 9995 3.3 .9995 9995 9995 .9996 9996 .9996 .9996 .9996 9996 .9997 3.4 .9997 .9997 .9997 .9997 9997 9997 .9997 .9997 .9997 9998
