Question: MS Share prices shown every 10 days: (3 possible paths shown below) An investor owns 10,000 shares of MS on Day 0. You can purchase
MS Share prices shown every 10 days: (3 possible paths shown below) An investor owns 10,000 shares of MS on Day 0. You can purchase up to 100-contract ($10 per contract; Total: 100X10X100) option strategy to optimize the return (minimize cost & maximize the return) such that the strategy would work for all three equally possible routes (each route has probability of 1/3 of occurring) such that the expected value of your portfolio will not drop below 5% mark (5% of 210X10,000) at any time during the 90-day schedule shown below. Day:0 10 20 30 40 50 60 70 80 90 210 215 220 225 220 230 240 250 260 270 210 210 212 215 205 195 185 175 165 160 210 215 205 195 185 190 195 200 205 208
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