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Question 5 Not yet answered TCS operate on a global scale, with diverse talent base of over 400,875 associates (including subsidiaries) representing 143 nationalities, across 46 countries as of 31-Aug-2021. Established in 1968, Tata Consultancy Services has grown to its current position as the #1 most powerful IT services brand based on our outstanding track record, long-term partnerships, collaborative innovation and corporate responsibility. Marked out of 15.00 Flag question Trader sells TCS 3800 Strike PE & buy 3700 PE. If current spot price of TCS is 3791 with annualised volatility of 30.81% for current month. During the tenure of the option, TCS is expected to pay dividend of 3000% on face value of Rs. 1. 1 lot = 300. Calculate: a) Option premium using Black & Scholes model with Dividend b) Option Greeks such as Delta, Gamma, Vega, Theta & Rho. c) Apply upper end & lower end with confidence level of 80% d) Apply Up-Factor & Down Factor e) Profit & Loss pay off if TCS closed at (i) 3790 (ii) 3256 (iii) 3810 (iv) 4060 f) Draw the pay-off diagram of the strategy used by the trader highlighting the break-even point. Table entry Table entry for z is the area under the standard normal curve to the left of z. 0.9 .00 1.01 .02 0.0 .5000 .5040 .5080 0.1 .5398 .5438 .5478 0.2 .5793 .5832 .5871 0.3 .6179 .6217 .6255 0.4 .6554 .6591 .6628 0.5 .6915 .6950 .6985 0.6 .7257 .7291 .7324 0.7 .7580 .7611 .7642 0.8 .7881 .7910 .7939 .8159 .8186 .8212 1.0 .8413 .8438 .8461 1.1 .8643 .8665 .8686 1.2 .8849 .8869 .8888 1.3 .9032 .9049 .9066 1.4 .9192 9207 .9222 1.5 .9332 .9345 .9357 .9452 9463 .9474 1.7 .9554 9564 .9573 .9641.9649.9656 1.9 .9713 .9719 .9726 2.0 .97729778 .9783 2.1 .9821.9826 .9830 2.2.9861 9864 9868 2.3 .9893 .9896 .9898 2.4 .9918 9920 .9922 2.5 .9938 9940 .9941 2.6 .9953 .9955.9956 2.7 .9965 .9966 .9967 2.8 9974 99759976 2.9 .9981 .9982 .9982 3.0 .9987 .99879987 3.1 .9990 .9991 .9991 3.2 .9993 .9993 .9994 3.3 .9995 .9995 .9995 3.4 .9997 .9997 .9997 1.6 1.03 1.04 .05 .06 ..07 .08 .5120 .5160 .5199523952795319 .5517 .5557 .5596 .5636 5675 .5714 .5910 .5948 .5987.6026 .6064 .6103 .6293 .6331 .6368 .6406 .6443 .6480 .6664 .6700 .6736.6772 .6808 .6844 .7019 .7054 .7088 7123 .7157 .7190 .7357 .7389 .7422.7454 .7486 .7517 .7673 7704 .7734 .7764 .7794 .7823 .7967 .7995 .8023.8051 .8078 .8106 .8238 8264 .8289.8315 .8340 .8365 .8485 .8508 .8531 .8554 .8577 .8599 .8708 .8729 .8749 .8770 .8790 .8810 .8907 .8925 .8944 .8962 .8980 .8997 .9082 .9099 .9115 9131 .9147 .9162 .9236 .9251 .92659279 .9292 .9306 .9370 .9382 .9394 .9406 .9418 .9429 9484 .9495 .9505.9515 .9525 .9535 .9582 .9591 .95999608 .9616 .9625 .9664 9671 9678 9686 .9693 .9699 .9732 .9738 .9744 9750 .9756 .9761 .9788 .9793 .9798 9803 .9808 .9812 .9834 .9838 .9842 9846 .9850 .9854 .9871 9875 .9878 9881 9884 .9887 .9901 .9904 .9906 9909 .9911 .9913 .9925 .9927 .99299931 .9932 .9934 .9943 .9945 .9946 9948 .9949 .9951 .9957 9959 .9960 9961 .9962 .9963 .9968 .9969 .9970.9971 .9972 .9973 .9977 9977 .9978 99799979 9980 .9983 .9984 .99849985 .9985 .9986 .9988 .9988 .9989 .9989 .9989 .9990 .9991 .9992 .9992 9992 .9992 .9993 .9994 .9994 .9994 .9994 .9995 .9995 .9996 .9996 .9996 .9996 .9996 .9996 .9997 .9997 .9997 .9997 .9997 .9997 .09 .5359 .5753 .6141 .6517 .6879 .7224 .7549 .7852 .8133 .8389 .8621 .8830 .9015 .9177 .9319 .9441 .9545 .9633 .9706 .9767 .9817 .9857 .9890 .9916 .9936 .9952 .9964 .9974 .9981 .9986 .9990 .9993 .9995 .9997 .9998 1.8 Question 5 Not yet answered TCS operate on a global scale, with diverse talent base of over 400,875 associates (including subsidiaries) representing 143 nationalities, across 46 countries as of 31-Aug-2021. Established in 1968, Tata Consultancy Services has grown to its current position as the #1 most powerful IT services brand based on our outstanding track record, long-term partnerships, collaborative innovation and corporate responsibility. Marked out of 15.00 Flag question Trader sells TCS 3800 Strike PE & buy 3700 PE. If current spot price of TCS is 3791 with annualised volatility of 30.81% for current month. During the tenure of the option, TCS is expected to pay dividend of 3000% on face value of Rs. 1. 1 lot = 300. Calculate: a) Option premium using Black & Scholes model with Dividend b) Option Greeks such as Delta, Gamma, Vega, Theta & Rho. c) Apply upper end & lower end with confidence level of 80% d) Apply Up-Factor & Down Factor e) Profit & Loss pay off if TCS closed at (i) 3790 (ii) 3256 (iii) 3810 (iv) 4060 f) Draw the pay-off diagram of the strategy used by the trader highlighting the break-even point. Table entry Table entry for z is the area under the standard normal curve to the left of z. 0.9 .00 1.01 .02 0.0 .5000 .5040 .5080 0.1 .5398 .5438 .5478 0.2 .5793 .5832 .5871 0.3 .6179 .6217 .6255 0.4 .6554 .6591 .6628 0.5 .6915 .6950 .6985 0.6 .7257 .7291 .7324 0.7 .7580 .7611 .7642 0.8 .7881 .7910 .7939 .8159 .8186 .8212 1.0 .8413 .8438 .8461 1.1 .8643 .8665 .8686 1.2 .8849 .8869 .8888 1.3 .9032 .9049 .9066 1.4 .9192 9207 .9222 1.5 .9332 .9345 .9357 .9452 9463 .9474 1.7 .9554 9564 .9573 .9641.9649.9656 1.9 .9713 .9719 .9726 2.0 .97729778 .9783 2.1 .9821.9826 .9830 2.2.9861 9864 9868 2.3 .9893 .9896 .9898 2.4 .9918 9920 .9922 2.5 .9938 9940 .9941 2.6 .9953 .9955.9956 2.7 .9965 .9966 .9967 2.8 9974 99759976 2.9 .9981 .9982 .9982 3.0 .9987 .99879987 3.1 .9990 .9991 .9991 3.2 .9993 .9993 .9994 3.3 .9995 .9995 .9995 3.4 .9997 .9997 .9997 1.6 1.03 1.04 .05 .06 ..07 .08 .5120 .5160 .5199523952795319 .5517 .5557 .5596 .5636 5675 .5714 .5910 .5948 .5987.6026 .6064 .6103 .6293 .6331 .6368 .6406 .6443 .6480 .6664 .6700 .6736.6772 .6808 .6844 .7019 .7054 .7088 7123 .7157 .7190 .7357 .7389 .7422.7454 .7486 .7517 .7673 7704 .7734 .7764 .7794 .7823 .7967 .7995 .8023.8051 .8078 .8106 .8238 8264 .8289.8315 .8340 .8365 .8485 .8508 .8531 .8554 .8577 .8599 .8708 .8729 .8749 .8770 .8790 .8810 .8907 .8925 .8944 .8962 .8980 .8997 .9082 .9099 .9115 9131 .9147 .9162 .9236 .9251 .92659279 .9292 .9306 .9370 .9382 .9394 .9406 .9418 .9429 9484 .9495 .9505.9515 .9525 .9535 .9582 .9591 .95999608 .9616 .9625 .9664 9671 9678 9686 .9693 .9699 .9732 .9738 .9744 9750 .9756 .9761 .9788 .9793 .9798 9803 .9808 .9812 .9834 .9838 .9842 9846 .9850 .9854 .9871 9875 .9878 9881 9884 .9887 .9901 .9904 .9906 9909 .9911 .9913 .9925 .9927 .99299931 .9932 .9934 .9943 .9945 .9946 9948 .9949 .9951 .9957 9959 .9960 9961 .9962 .9963 .9968 .9969 .9970.9971 .9972 .9973 .9977 9977 .9978 99799979 9980 .9983 .9984 .99849985 .9985 .9986 .9988 .9988 .9989 .9989 .9989 .9990 .9991 .9992 .9992 9992 .9992 .9993 .9994 .9994 .9994 .9994 .9995 .9995 .9996 .9996 .9996 .9996 .9996 .9996 .9997 .9997 .9997 .9997 .9997 .9997 .09 .5359 .5753 .6141 .6517 .6879 .7224 .7549 .7852 .8133 .8389 .8621 .8830 .9015 .9177 .9319 .9441 .9545 .9633 .9706 .9767 .9817 .9857 .9890 .9916 .9936 .9952 .9964 .9974 .9981 .9986 .9990 .9993 .9995 .9997 .9998 1.8