question numbers 10 11 and 12.

Puts Jul Aug Oct Oct 5.25 2/20 2.70 0.80 8.10 6.00 6.75 9.00 3.25 5.75 2 f 13. Buy 100 shares of stock and write one October The following option prices were observed for a stock for July 6 of a particular year. Use this information in problems 10 through 15. Ignore dividends on the stock. The stock is priced at 165.13. The expirations are July 17. August 21. and October 16. The continuously compounded risk-free rates are 0.0503, 0.0535, and 0.0571, respectively. The standard deviation is 0.21. Assume that the options are European. Calls Strike Aug 165 4.75 170 7.50 In problems 10 through 15, determine the profits for possible stock prices of 150, 155, 160, 165, 170, 175, and 180. Answer any other questions as requested. Note: Your Excel spreadsheet Option StrategyAnalyzer 10e.xlsm will be useful here for obtaining graphs as requested, but it does not allow you to calculate the profits for several user-specified asset prices. It permits you to specify one asset price and a maximum and minimum. Use Option StrategyAnalyzer10e.xlsm to produce the graph for the range of prices from 150 to 180, but determine the profits for the prices of 150, 160, 180 by hand for positions held to expiration. For positions closed prior to expiration, use the spreadsheet BlackScholes Merton Binomial 10e.xlsm to determine the option price when the position is closed; then calculate the profit by hand. 10. Buy one August 165 call contract. Hold it until the options expire. Determine the profits and graph the results. Then identify the breakeven stock price at expiration. What is the maximum possible loss on this transaction? 11. Repeat problem 10, but close the position on August 1. Use the spreadsheet to find the profits for the possible stock prices on August 1. Gen- erate a graph and use it to identify the approxi- mate breakeven stock price. 12. Buy one October 165 put contract. Hold it until the options expire. Determine the profits and graph the results. Identify the breakeven stock price at expiration. What are the maximum possible gain and loss on this transaction? expiration. Determine the profits and results. Identify the breakeven stock expiration, the maximum profit, and mum loss. 14. Repeat the previous problem, but d tion on September 1. Use the spread the profits for the possible stock pr tember 1. Generate a graph and use approximate the breakeven stock p 15. Buy 100 shares of stock and buy on put contract. Hold the position un Determine the profits and graph t Determine the breakeven stock pr tion, the maximum profit, and the loss. For problems 16, 17, and 18, dete from the following basic foreign transactions for each of the follow expiration: $0.90, $0.95 $1.00, $ Construct a profit graph. Find the rate at expiration. Assume that covers 100.000 euros. 16. A call option on the euro expiri has an exercise price of $1.00 a 30.0385. Construct a simple lor the call. 17. A euro put with an exercise po priced at $0.0435. Construct a tion in the put. 18. Use the information in problem euro covered call. Assume tha the start $0.9825. 19. The Black-Scholes-Merton o assumes that stock price chan distributed. Show graphically tion changes when an inves and short the call 20. The Black-Scholes-Merton assumes that stock price cha distributed. Show graphical tion changes when an inve and long the put. 21. Using BlackScholes Merton compute the call and put option, where the current exercise price is $100, the 5 percent (continuously a tility is 30 percent, and t one year. Explain how y thetic call option and id- 11 11. his nd the ibe or 170 call contract Hold the position until Puts Jul Aug Oct Oct 5.25 2/20 2.70 0.80 8.10 6.00 6.75 9.00 3.25 5.75 2 f 13. Buy 100 shares of stock and write one October The following option prices were observed for a stock for July 6 of a particular year. Use this information in problems 10 through 15. Ignore dividends on the stock. The stock is priced at 165.13. The expirations are July 17. August 21. and October 16. The continuously compounded risk-free rates are 0.0503, 0.0535, and 0.0571, respectively. The standard deviation is 0.21. Assume that the options are European. Calls Strike Aug 165 4.75 170 7.50 In problems 10 through 15, determine the profits for possible stock prices of 150, 155, 160, 165, 170, 175, and 180. Answer any other questions as requested. Note: Your Excel spreadsheet Option StrategyAnalyzer 10e.xlsm will be useful here for obtaining graphs as requested, but it does not allow you to calculate the profits for several user-specified asset prices. It permits you to specify one asset price and a maximum and minimum. Use Option StrategyAnalyzer10e.xlsm to produce the graph for the range of prices from 150 to 180, but determine the profits for the prices of 150, 160, 180 by hand for positions held to expiration. For positions closed prior to expiration, use the spreadsheet BlackScholes Merton Binomial 10e.xlsm to determine the option price when the position is closed; then calculate the profit by hand. 10. Buy one August 165 call contract. Hold it until the options expire. Determine the profits and graph the results. Then identify the breakeven stock price at expiration. What is the maximum possible loss on this transaction? 11. Repeat problem 10, but close the position on August 1. Use the spreadsheet to find the profits for the possible stock prices on August 1. Gen- erate a graph and use it to identify the approxi- mate breakeven stock price. 12. Buy one October 165 put contract. Hold it until the options expire. Determine the profits and graph the results. Identify the breakeven stock price at expiration. What are the maximum possible gain and loss on this transaction? expiration. Determine the profits and results. Identify the breakeven stock expiration, the maximum profit, and mum loss. 14. Repeat the previous problem, but d tion on September 1. Use the spread the profits for the possible stock pr tember 1. Generate a graph and use approximate the breakeven stock p 15. Buy 100 shares of stock and buy on put contract. Hold the position un Determine the profits and graph t Determine the breakeven stock pr tion, the maximum profit, and the loss. For problems 16, 17, and 18, dete from the following basic foreign transactions for each of the follow expiration: $0.90, $0.95 $1.00, $ Construct a profit graph. Find the rate at expiration. Assume that covers 100.000 euros. 16. A call option on the euro expiri has an exercise price of $1.00 a 30.0385. Construct a simple lor the call. 17. A euro put with an exercise po priced at $0.0435. Construct a tion in the put. 18. Use the information in problem euro covered call. Assume tha the start $0.9825. 19. The Black-Scholes-Merton o assumes that stock price chan distributed. Show graphically tion changes when an inves and short the call 20. The Black-Scholes-Merton assumes that stock price cha distributed. Show graphical tion changes when an inve and long the put. 21. Using BlackScholes Merton compute the call and put option, where the current exercise price is $100, the 5 percent (continuously a tility is 30 percent, and t one year. Explain how y thetic call option and id- 11 11. his nd the ibe or 170 call contract Hold the position until

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