Data: S 0 = 108; X = 120; 1 + r = 1.1. The two possibilities for
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| Data: S 0 = 108; X = 120; 1 + r = 1.1. The two possibilities for ST are 130 and 90. |
| a. | The range of S is 40 while that of P is 30 in both states. What is the put option coverage ratio? (Round your answer to 2 decimal places. The negative amount should be indicated with a minus sign.) |
| coverage ratio |
| b-1. | Build a portfolio of three stocks and four put options. What is the (non-random) payoff for this portfolio? (Omit the "$" sign in your answer.) |
| non-random payment | ps | |
| b-2. | What is the present value of the portfolio? (Round your answer to 2 decimal places. Omit the "$" sign in your answer.) |
| Present value | ps |
| C. | Given that the stock currently sells for $108, calculate the sale value. (Round your answer to 2 decimal places. Omit the "$" sign in your answer.) |
| put value | ps |
Expert Answer:
a The put option coverage ratio measures the extent to which the portfolio is protected against pote... View the full answer
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