# Question

Repeat Problem 13.10 for a 365-day 40-strike put.

## Answer to relevant Questions

Using the parameters in Table 13.1, verify that equation (13.9) is zero. Suppose you enter into a put ratio spread where you buy a 45-strike put and sell two 40-strike puts, both with 91 days to expiration. Compute and graph the 1-day holding period profit if you delta- and gamma-hedge this ...Reproduce the analysis in Table 13.3, assuming that instead of selling a call you sell a 40-strike put. Problem 12.11 showed how to compute approximate Greek measures for an option. Use this technique to compute delta for the gap option in Figure 14.3, for stock prices ranging from $90 to $110 and for times to expiration of 1 ...You wish to insure a portfolio for 1 year. Suppose that S = $100, σ = 30%, r = 8%, and δ = 0. You are considering two strategies. The simple insurance strategy entails buying one put option with a 1-year maturity at a ...Post your question

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