Use the spreadsheet output below to answer the following questions. You must use the values in this table to calculate your answers. Black Scholes Merton option price calculation stock price 25.00 25.00 25.00 strike price 24.00 25.00 26.00 interest rate 0.040 0.040 0.040 volatility 0.300 0.300 0.300 time to maturity (years) 0.500 0.500 0.500 d1 0.393 0.200 0.015 N(1) 0.653 0.579 0.506 d2 0.181 -0.012 -0.197 N(2) 0.572 0.495 0.422 BSM call option 2.8704 2.3476 1.8984 N(-d1) 0.3472 0.4206 0.4938 N(-d2) 0.4283 0.5047 0.5780 BSM put option 1.3951 1.8526 2.3835 delta(Call) 0.6528 0.5794 0.5062 delta(Put) -0.3472 -0.4206 -0.4938 gamma 0.0696 0.0737 0.0752 1. Consider the $24 strike call option. When the share price increases by $0.10 the call option price will Using the delta, the new call option price after the share price has increased by $0.10 is estimated to be $ Write your answer to two decimal places or your answer will be incorrect. 2. Consider the $24 strike call option. When the share price increases to $25.10 the delta of the call option changes. The new delta for the call is estimated using the Using this approach, the new delta for the call is You must give your answer correct to three decimal places and include the sign or your answer will be incorrect. 3. Consider a portfolio constructed of: {long 100 call options with strike price = $24, plus short 200 put options with strike price = $25, plus long 300 put options with strike price = $26} The delta of this portfolio is . You must give your answer to three decimal places or your answer will be incorrect. 4. You can add a position in shares to make your portfolio approximately delta neutral. Here round the number of shares to a whole number. Use the spreadsheet output below to answer the following questions. You must use the values in this table to calculate your answers. Black Scholes Merton option price calculation stock price 25.00 25.00 25.00 strike price 24.00 25.00 26.00 interest rate 0.040 0.040 0.040 volatility 0.300 0.300 0.300 time to maturity (years) 0.500 0.500 0.500 d1 0.393 0.200 0.015 N(1) 0.653 0.579 0.506 d2 0.181 -0.012 -0.197 N(2) 0.572 0.495 0.422 BSM call option 2.8704 2.3476 1.8984 N(-d1) 0.3472 0.4206 0.4938 N(-d2) 0.4283 0.5047 0.5780 BSM put option 1.3951 1.8526 2.3835 delta(Call) 0.6528 0.5794 0.5062 delta(Put) -0.3472 -0.4206 -0.4938 gamma 0.0696 0.0737 0.0752 1. Consider the $24 strike call option. When the share price increases by $0.10 the call option price will Using the delta, the new call option price after the share price has increased by $0.10 is estimated to be $ Write your answer to two decimal places or your answer will be incorrect. 2. Consider the $24 strike call option. When the share price increases to $25.10 the delta of the call option changes. The new delta for the call is estimated using the Using this approach, the new delta for the call is You must give your answer correct to three decimal places and include the sign or your answer will be incorrect. 3. Consider a portfolio constructed of: {long 100 call options with strike price = $24, plus short 200 put options with strike price = $25, plus long 300 put options with strike price = $26} The delta of this portfolio is . You must give your answer to three decimal places or your answer will be incorrect. 4. You can add a position in shares to make your portfolio approximately delta neutral. Here round the number of shares to a whole number
