Time Sensitive Problem On January 9, 2020, the call option on the S P 500 (SPX) with strike price of $3,245 sold for $81 20 This call option had an expiration date of March 13, 2020 The S P 500 index traded at $3,274 70 on January 9, 2020 The annual risk free interest rate quoted on January 9, 2020 was 1 53 The dividend yield on S P 500 in 2020 was 1 58 The expected dividends on March 13, 2020 were approximately $8 65 What would be the price of a $3,245 strike put option that expired on March 13, 2020 Please use the put call parity to solve for the put premium and show your work in an Excel spreadsheet Time to maturity and time to dividend are approximated to 63 365 Requirements Use the equation of the put call parity 0 to solve for the put premium Set the formulae and perform calculations in Excel You can use the Excel template, Format of Project 1 xlsx, posted on Blackboard Draw a payoff diagram of a replicated portfolio that consists of a long call, a short in S P 500, a bond paying the strike price (K), and dividends () at the expiration date To do this, you will create a few headers for the S P 500 index value (), call payoff Max(0, ) , a short in S P 500 (), a bond paying the strike price (K), and dividends ($8 65) Then evaluate the total payoff for the replicated portfolio at a few S P 500 index values below and above the strike price With the total payoffs evaluated at a few S P 500 index values, you will be able to draw the payoff diagram of this replicating portfolio It should look like the payoff diagram of a long put

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Time Sensitive: Problem: On January 9, 2020, the call option on the S&P 500 (SPX) with strike price of $3,245 sold for $81.20. This call

Time Sensitive:

Problem: On January 9, 2020, the call option on the S&P 500 (SPX) with strike price of $3,245 sold for $81.20. This call option had an expiration date of March 13, 2020. The S&P 500 index traded at $3,274.70 on January 9, 2020. The annual risk-free interest rate quoted on January 9, 2020 was 1.53%. The dividend yield on S&P 500 in 2020 was 1.58%. The expected dividends on March 13, 2020 were approximately $8.65. What would be the price of a $3,245-strike put option that expired on March 13, 2020? Please use the put-call parity to solve for the put premium and show your work in an Excel spreadsheet. Time to maturity and time to dividend are approximated to 63/365.

Requirements:

Use the equation of the put-call parity = + + 0 to solve for the put premium. Set the formulae and perform calculations in Excel. You can use the Excel template, Format of Project 1.xlsx, posted on Blackboard.
Draw a payoff diagram of a replicated portfolio that consists of a long call, a short in S&P 500, a bond paying the strike price (K), and dividends () at the expiration date. To do this, you will create a few headers for the S&P 500 index value (), call payoff [Max(0, )], a short in S&P 500 (), a bond paying the strike price (K), and dividends ($8.65). Then evaluate the total payoff for the replicated portfolio at a few S&P 500 index values below and above the strike price. With the total payoffs evaluated at a few S&P 500 index values, you will be able to draw the payoff diagram of this replicating portfolio. It should look like the payoff diagram of a long put.