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The investor is considering the options of Microsoft corporation of trading purpose. The underlying securities pays non dividend. Call Put SP=95 SP=100 SP=80 SP=85 30
- The investor is considering the options of Microsoft corporation of trading purpose. The underlying securities pays non dividend.
|
| Call |
| Put |
|
| SP=95 SP=100 |
| SP=80 SP=85 |
30 days |
| 3.75 2.00 |
| 3.50 6.50 |
90 days |
| 5.00 3.75 |
| 4.75 8.00 |
180 days |
| 8.75 7.00 |
| 7.00 11.00 |
In context of current settings, the is price of stock is $81, with the central rate (considered as risk free) is 3.768%. The volatility in the stock prices based on normality of distribution is 26%.
- Value the 90 days-month call in setting of American and European, with a strike price of 80.
- Replicate the call options option and put option using the inputs from the black Scholes model?
- calculates the implied volatilities of call option and put option?
- Develop the payoff diagram of the above trading setting under box spread strategy. Assuming that you buy a call with an exercise price of 85 and long call with an exercise price of 90.
- Based on the setting of put call parity, how the value varies for the 90 days call option with a strike price of 84.
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