(Difficult) Using the principles of the previous question, create a spreadsheet-based algorithm to generate an option portfolio...

Question:

(Difficult) Using the principles of the previous question, create a spreadsheet-based algorithm to generate an option portfolio for any target gross payoff profile, such as the one in the previous question. Assume, as in the previous question, that option payoffs are provided for stock prices taken at regular intervals (e.g., intervals of $10). Create a table for the given problem on a spreadsheet and then use solver to find the solution. 


Data in Previous question.

You are interested in creating the following gross payoff profile using an options portfolio: 

image

What options, at what strikes, would you hold in your portfolio? Assume that the desired payoffs are zero for any stock price less than 50 or greater than 160.

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For  book-img-for-question
Question Posted: