Question: Q 2 . Underlying priced at 1 0 0 0 follows a uniform distribution with a MAD of 2 0 0 . ( 1 5
Q Underlying priced at follows a uniform distribution with a MAD of points
Qa What is the probability of option expiring ITM for a PUT? points
Qb What is the average underlying price when PUT expires ITM? points
Qc What is the average PUT option payment conditional on that the PUT expires in the money?
pointsnote: this is asking for option payment NOT average stock price when option expires ITM
Qd How much should the PUT be priced at today based on Qa and Qc points
Qe Out of the price in Qd how much of that is intrinsic value and how much is time value?
points
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