Finanzas

UNIVERSIDAD ESAN

Programa Maestría a Tiempo Completo
MBA TC47-2
[pic]

Asignatura: Learning from Wealth Destruction
in Financial Markets

Profesor: Andrew N. Kleit, PhD

Titulo Trabajo: Trabajo Individual

El presente trabajo ha sido realizado de acuerdo a los reglamentos
de la Universidad ESAN por:

I. Option Portfolios:

For the two following questions, createa table of the value of your portfolio on expiration day for the integer price of the stock in the relevant range.

1) You own (are long) a call with an exercise price of 89 and a put at 97, as the price of the stock goes from 90 to 100.

|Pay off to stock |Pay off put at |Pay off call at |Valor de Cartera |
| |97 |89 ||
|90 |7 |1 |8 |
|91 |6 |2 |8 |
|92 |5 |3 |8 |
|93 |4 |4 |8 |
|94 |3 |5 |8 |
|95 |2|6 |8 |
|96 |1 |7 |8 |
|97 |0 |8 |8 |
|98 |0 |9 |9 |
|99 |0 |10 |10 |
|100 |0 |11|11 |

2) You are short a call at 80, and long a put at 76, as the price of the stock goes from 75 to 85.

|Pay off to stock |Pay off put at |Pay off call at |Valor de Cartera |
| |76 |80 | |
|75 |1 |0 |1 |
|76 |0 |0|0 |
|77 |0 |0 |0 |
|78 |0 |0 |0 |
|79 |0 |0 |0 |
|80 |0 |0 |0 |
|81 |0 |1 |1|
|82 |0 |2 |2 |
|83 |0 |3 |3 |
|84 |0 |4 |4 |
|85 |0 |5 |5 |

3).- Assume you are buying stock in Exxon. You buy a share of stock at 125, and aput option at 121 for 2.71. You sell a call option at 129 for 3.42. Create a table for the profits of your strategy as the price of stock in Exxon at the expiration date goes from 120 to 130 (using integer numbers for the price of Exxon stock).

Costo de Cartera = 125+2.71-3.42= 124.29

|STOCK PRICE |BERNIE COST |PAY OFF TO STOCK |PAY OFF TO PUT AT|PAY OFF TO CALL |COSTOOPCION DE |
| | | |121 |AT 129 |COMPRA |
|120 |124.29 |120 |1 |0 |-3.29 |
|121 |124.29 |121 |0 |0 |-3.29 |
|122 |124.29 |122|0 |0 |-2.29 |
|123 |124.29 |123 |0 |0 |-1.29 |
|124 |124.29 |124 |0 |0 |-0.29 |
|125 |124.29 |125 |0 |0 |0.71 |
|126...