The following option prices were observed for calls and puts on a stock on July 6 of a particular year. Use this information for problems 6 through 24. The stock was priced at 165.13. The expirations are July 17, August 21, and October 16. The continuously compounded risk-free rates associated with the three expirations are 0.0503, 0.0535, and 0.0571, respectively. The standard deviation is 0.21.

Calls

Puts

Strike	July	Aug	Oct		Jul	Aug	Oct
160	6.00	8.10	11.10		0.75	2.75	4.50
165	2.70	5.25	8.10		2.40	4.75	6.75
170	0.80	3.25	6.00		5.75	7.50	9.00

Construct a collar using the October 160 put. First, use the BlackScholesMerton model to identify a call that will make the collar have zero up-front cost. Then close the position on Sep- tember 20. Use the spreadsheet to find the profits for the possible stock prices on September 20. Generate a graph and use it to identify the approximate breakeven stock price. Determine the maximum and minimum profits.

NO EXCEL WORK PLEASE