Suppose an investor is currently holding a large position in Moderna Inc. (MRNA), whichis currently selling at
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Question:
December put option with strike $100 and premium $0.15 per share.
December put option with strike $120 and premium $0.48 per share.
Call option with strike $100 and premium $48.38 per share.
Call option with strike $145 and premium $10.48 per share.
a) Construct a strategy with MRNA and put OR call (just one type of option) that willguarantee the lower bound. Calculate the pay-off table, and graph such payoff at expiration.
b) Suppose the investors consider the strategy in a) too expensive, how would he reduce thecost of the strategy using call options? Again do the table and the graph. What would be thecost of the complete strategy?
Related Book For
Fundamentals of Corporate Finance
ISBN: 978-1259024962
6th Canadian edition
Authors: Richard Brealey, Stewart Myers, Alan Marcus, Devashis Mitra, Elizabeth Maynes, William Lim
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