You have the following series of call options available: Stock price 189 Strike 160 Premium 33.9...
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You have the following series of call options available: Stock price 189 Strike 160 Premium 33.9 180 19.6 200 9.9 220 4.4 240 1.8 Using the available options, design a strategy that: i) Provides a profit if the stock price has fallen at expiration but provides some protection from a price increase. What is the maximum profit you can make? At what price do you start to lose money? ii) Allows you to create a "synthetic" put. If the option maturity was 3 months and the continuously compounded risk free interest rate was 5 per cent per year, what would the put price be? You have the following series of call options available: Stock price 189 Strike 160 Premium 33.9 180 19.6 200 9.9 220 4.4 240 1.8 Using the available options, design a strategy that: i) Provides a profit if the stock price has fallen at expiration but provides some protection from a price increase. What is the maximum profit you can make? At what price do you start to lose money? ii) Allows you to create a "synthetic" put. If the option maturity was 3 months and the continuously compounded risk free interest rate was 5 per cent per year, what would the put price be?
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