Amazon (AMZN) pays no dividend and its stock sells for $1,570/share. A 1-month European call option...
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Amazon (AMZN) pays no dividend and its stock sells for $1,570/share. A 1-month European call option on AMZN with a strike price of $1,570 sells for 49. The 1-month risk free rate is 2% on a continuously compounded basis. Each contract of a European option is for 100 shares of the underlying asset. a. What is the expected price of a 1-month European put option on AMZN? b. Consider the following two portfolios: Portfolio A Borrow $157,000 at risk-free rate and buy 100 shares of AMZN Portfolio B Long 1 contract of AMZN European call option expiring in 1-month at a strike price of 1,570 And, short 1 contract of AMZN European put option expiring in 1-month at a strike price of 1,570 Draw a payoff diagram for the two portfolios with respect to ST, the price of AMZN stock at maturity. Amazon (AMZN) pays no dividend and its stock sells for $1,570/share. A 1-month European call option on AMZN with a strike price of $1,570 sells for 49. The 1-month risk free rate is 2% on a continuously compounded basis. Each contract of a European option is for 100 shares of the underlying asset. a. What is the expected price of a 1-month European put option on AMZN? b. Consider the following two portfolios: Portfolio A Borrow $157,000 at risk-free rate and buy 100 shares of AMZN Portfolio B Long 1 contract of AMZN European call option expiring in 1-month at a strike price of 1,570 And, short 1 contract of AMZN European put option expiring in 1-month at a strike price of 1,570 Draw a payoff diagram for the two portfolios with respect to ST, the price of AMZN stock at maturity.
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Related Book For
Introduction to Statistical Quality Control
ISBN: 978-1118146811
7th edition
Authors: Douglas C Montgomery
Posted Date:
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