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Problem 7. Use the following 3 call options: K1 -50, K2 - 59, K3 - 65,...
Financial Derivatives (4) T=1/4 year, three call options - cl,c2 and 3. K1 = $20. K2...
Financial Derivatives (4) T=1/4 year, three call options - cl,c2 and 3. K1 = $20. K2 - $30, K3 = 50, c1 - $15, and c2 S5, c3 = $1. (10 points) a. An investor buys one cl and c3, and short 2 c2. please draw a diagram illustrating how the investor's profitloss varies with the nice of the underlying asset on the day of maturity. points) b. Under what circumstances you expect to use this trading strategy? (2 points)
6. The following table shows the premiums of European call and put options having the same...
6. The following table shows the premiums of European call and put options having the same underlying stock, the same time to expiration but different strike prices: StrikeCall Premium Put Premium $20 $23 $25 $3.59 $2.45 $1.89 $2.64 $4.36 $5.70 You use the above call and put options to construct an asymmetric butterfly spread with the following characteristics (i) The maximum payoff of 6 is attained when the stock price at expiration is 23 (ii) The payoff is strictly positive...
Three-month European put options with strike prices of $50, $55, and $60 cost $2, $4, and...
Three-month European put options with strike prices of $50, $55, and $60 cost $2, $4, and $7, respectively. 1) How can one create a butterfly spread using these options? 2) Please draw the payoff and profit diagrams of this butterfly strategy. 3) What are the maximum gain and maximum loss of the butterfly spread created using these put options? 4) For which two values of ST does the holder of the butterfly spread break even (with a profit of zero),...
#1 The following options on American Euro Call options are available. The current spot price of...
#1 The following options on American Euro Call options are available. The current spot price of the Euro is $1.00/Euro. You care going to construct a short butterfly spread that entails: Sell 1 in the money call Buy 2 at the money Calls (lower strike than sold call above) Sell 1 out of the money call This strategy is outlined below in the table, the first column tells you which position to take in each option contract. Decision Type Premium...
Problem 5: You enter into the following trade. Write a put option with a strike...
Problem 5: You enter into the following trade. Write a put
option with a strike price of 30 Write a call option with a
strike price of 50 Both the call and put option are written on
the same underlying and have the same expiration date.
Problem 5: You enter into the following trade. • Write a put option with a strike price of 30 Write a call option with a strike price of 50 • Both...
Assume the following premia: Strike $950 Call $120.405 93.809 84.470 71.802 51.873 Put $51.777 74.201 1000...
Assume the following premia: Strike $950 Call $120.405 93.809 84.470 71.802 51.873 Put $51.777 74.201 1000 1020 84.470 101.214 1050 1107 137.167 I 1) Suppose you invest in the S&P stock index for $1000, buy a 950-strike put, and sell a 1050- strike call. Draw a profit diagram for this position. What is the net option premium? 2) Here is a quote from an investment website about an investment strategy using options: One strategy investors apply is a "synthetic stock."...
Problem 1: Portfolio of Options Draw the resulting payoff from the following combination of options. Make...
Problem 1: Portfolio of Options Draw the resulting payoff from the following combination of options. Make sure that you specify the coordinates of the payoff (x,y) at the intercept and at every strike price. a. 1 long call with strike price 10 and 1 short call with strike price 12. b. 1 short put with strike price 5 and one long put with strike price 9. c. 1 long call with strike price 10 and 2 short call with strike...
6 Question 6 • Note: In this question, the underlying stock does not pay dividends. •...
6 Question 6 • Note: In this question, the underlying stock does not pay dividends. • The terminal payoff diagrams of five financial derivatives are plotted in Fig. 1. . All of them describe real derivatives which trade in the financial markets, except maybe (e). • The horizontal axis shows the stock price at expiration St, for 0 < ST < 100. • The vertical axis shows the payoff at expiration V (Sr), call them (V., V., V., Va, Ve)....
Problem 10: a) Given the following sequence: x[n]={1, 2, 3, 4} where x[?= 1. Use the...
Problem 10: a) Given the following sequence: x[n]={1, 2, 3, 4} where x[?= 1. Use the decimation in time FFT algorithm to compute the 4-point DFT of the sequence X[k]. Draw the signal flow & the butterfly structure and clearly label the branches with the intermediate values and the twiddle factors W = e- /2nk b) The inverse discrete Fourier transform can be calculated using the same structure and method but after appropriately changing the variable WN and multiplying the...
i have problem trying to create the class in this python 3 promblem In this problem...
i have problem trying to create the class in this python 3
promblem
In this problem you will be creating a Caterpillar class that will draw a caterpillar using turtle graphics. Your caterpillar object will contain the following information: 1. Body color (default "green") 2. Legs color (default "purple") 3. Body size (the radius of the 5 circles that make the caterpillars body) (default- 50) You are going to want to create a turtle object that you will use to...
Financial Derivatives (4) T=1/4 year, three call options - cl,c2 and 3. K1 = $20. K2 - $30, K3 = 50, c1 - $15, and c2 S5, c3 = $1. (10 points) a. An investor buys one cl and c3, and short 2 c2. please draw a diagram illustrating how the investor's profitloss varies with the nice of the underlying asset on the day of maturity. points) b. Under what circumstances you expect to use this trading strategy? (2 points)
6. The following table shows the premiums of European call and put options having the same underlying stock, the same time to expiration but different strike prices: StrikeCall Premium Put Premium $20 $23 $25 $3.59 $2.45 $1.89 $2.64 $4.36 $5.70 You use the above call and put options to construct an asymmetric butterfly spread with the following characteristics (i) The maximum payoff of 6 is attained when the stock price at expiration is 23 (ii) The payoff is strictly positive...
#1 The following options on American Euro Call options are available. The current spot price of the Euro is $1.00/Euro. You care going to construct a short butterfly spread that entails: Sell 1 in the money call Buy 2 at the money Calls (lower strike than sold call above) Sell 1 out of the money call This strategy is outlined below in the table, the first column tells you which position to take in each option contract. Decision Type Premium...
Problem 5: You enter into the following trade. Write a put
option with a strike price of 30 Write a call option with a
strike price of 50 Both the call and put option are written on
the same underlying and have the same expiration date.
Problem 5: You enter into the following trade. • Write a put option with a strike price of 30 Write a call option with a strike price of 50 • Both...
Assume the following premia: Strike $950 Call $120.405 93.809 84.470 71.802 51.873 Put $51.777 74.201 1000 1020 84.470 101.214 1050 1107 137.167 I 1) Suppose you invest in the S&P stock index for $1000, buy a 950-strike put, and sell a 1050- strike call. Draw a profit diagram for this position. What is the net option premium? 2) Here is a quote from an investment website about an investment strategy using options: One strategy investors apply is a "synthetic stock."...
6 Question 6 • Note: In this question, the underlying stock does not pay dividends. • The terminal payoff diagrams of five financial derivatives are plotted in Fig. 1. . All of them describe real derivatives which trade in the financial markets, except maybe (e). • The horizontal axis shows the stock price at expiration St, for 0 < ST < 100. • The vertical axis shows the payoff at expiration V (Sr), call them (V., V., V., Va, Ve)....
Problem 10: a) Given the following sequence: x[n]={1, 2, 3, 4} where x[?= 1. Use the decimation in time FFT algorithm to compute the 4-point DFT of the sequence X[k]. Draw the signal flow & the butterfly structure and clearly label the branches with the intermediate values and the twiddle factors W = e- /2nk b) The inverse discrete Fourier transform can be calculated using the same structure and method but after appropriately changing the variable WN and multiplying the...
i have problem trying to create the class in this python 3
promblem
In this problem you will be creating a Caterpillar class that will draw a caterpillar using turtle graphics. Your caterpillar object will contain the following information: 1. Body color (default "green") 2. Legs color (default "purple") 3. Body size (the radius of the 5 circles that make the caterpillars body) (default- 50) You are going to want to create a turtle object that you will use to...
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