Suppose that you short the S&R index for $1000 and sell a 1000-strike put. Construct a table
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Verify that your table matches Figure 3.5.
For the following problems assume the effective 6-month interest rate is 2%, the S&R 6 month forward price is $1020, and use these premiums for S&R options with 6 months to expiration:
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This question constructs a position that is the opposite to the position of Table 31 T...View the full answer
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