Question
Suppose a 6-month maturity call option with exercise price $80 currently sells for $10. Consider a portfolio with $6000 invested in three at-the-money call contracts
Suppose a 6-month maturity call option with exercise price $80 currently sells for $10. Consider a portfolio with $6000 invested in three at-the-money call contracts and $4000 in 6-month T-bills to earn 2% return. What's the portfolio return when the stock price becomes $110?
| a. | 17.408 | |
| b. | 1.208 | |
| c. | 0.008 | |
| d. | 0.012 |
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Financial Markets And Institutions An Introduction To Risk Management Approach
Authors: Anthony Saunders, Marcia Cornett
3rd Edition
0073250937, 9780073250939
