Question: = - = Exercise 1.6. Let S be a stock with initial price So = 50 per share. European put options on S with maturity

= - = Exercise 1.6. Let S be a stock with

= - = Exercise 1.6. Let S be a stock with initial price So = 50 per share. European put options on S with maturity T = 1 year and strike price K = 50 are trading at the initial price Po = 1.75 per option. An investor buys 10 shares of stock and 200 put options at time 0 and holds the position for one year. = (a) What is the initial capital of this strategy? (b) Find all values of Si (the stock price at time 1) for which the Xi > 600 (where X1 is the capital of the strategy at time 1). = - = Exercise 1.6. Let S be a stock with initial price So = 50 per share. European put options on S with maturity T = 1 year and strike price K = 50 are trading at the initial price Po = 1.75 per option. An investor buys 10 shares of stock and 200 put options at time 0 and holds the position for one year. = (a) What is the initial capital of this strategy? (b) Find all values of Si (the stock price at time 1) for which the Xi > 600 (where X1 is the capital of the strategy at time 1)

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