Question: Use a spreadsheet to verify the option prices in Examples
Use a spreadsheet to verify the option prices in Examples 12.1 and 12.2.
Answer to relevant Questions"Time decay is greatest for an option close to expiration." Use the spreadsheet functions to evaluate this statement. Consider both the dollar change in the option value and the percentage change in the option value, and ...Consider a bull spread where you buy a 40-strike put and sell a 45-strike put. Suppose σ = 0.30, r = 0.08, δ = 0, and T = 0.5. a. Suppose S = $40. What are delta, gamma, vega, theta, and rho? b. Suppose S = $45. What are ...Repeat the previous problem, but this time for perpetual options. What do you notice about the prices? What do you notice about the exercise barriers? Suppose you sell a 45-strike call with 91 days to expiration. What is delta? If the option is on 100 shares, what investment is required for a delta-hedged portfolio? What is your overnight profit if the stock tomorrow is ...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 ...
Post your question