Question 1: When the stock ends up at $38 two weeks from now, the call will be
Question:
Question 1:
When the stock ends up at $38 two weeks from now, the call will be worth $.......
Question 2:
One week from now with the stock at 44 and the possibility of going up to 50 or down to 38 over the following week, the call is worth $................
Question 3:
What is the price of the call today? Call = $ ........................
Question 4:
You sold a call on one share. Your delta hedge will cause you to borrow $..................... net of the premium you received.
Question 5:
One period later when the stock drops to $44, you adjust your delta hedge. After the re-hedging, your net borrowing is $...........................
Question 6:
One period later, the stock goes up to $56 instead. At that time, your delta will change. To cover the change in the delta, you will borrow an additional $ ................. to spend it on buying more shares.
Introduction to Operations Research
ISBN: 978-1259162985
10th edition
Authors: Frederick S. Hillier, Gerald J. Lieberman