Repeat Problem 13.9 for a 91-day 40-strike put.
Answer to relevant QuestionsRepeat Problem 13.10 for a 365-day 40-strike put. You have written a 35-40-45 butterfly spread with 91 days to expiration. Compute and graph the 1-day holding period profit if you delta- and gamma-hedge this position using the stock and a 40-strike call with 180 days to ...Reproduce the analysis in Table 13.2, assuming that instead of selling a call you sell a 40-strike put. Consider the hedging example using gap options, in particular the assumptions and prices in Table 14.4. a. Implement the gap pricing formula. Reproduce the numbers in Table 14.4. b. Consider the option withK1= $0.8 andK2 = ...Suppose that S = $100, σ = 30%, r = 8%, and δ = 0. Today you buy a contract which, 6 months from today, will give you one 3-month to expiration at-the-money call option. (This is called a forward start option.) Assume that ...
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