Teorya De Opciones

Option Theory Problems

1. Suppose you want to speculate using call options. To do so, you form a long straddle by buying a call (Premium = $5) and buying a put (Premium = $3), where both optionshave the same 1-year maturity and the same $50 exercise price. a) Draw a graph showing the profits from the two-option portfolio as a function of the underlying asset’s price. In particular, explicitlyshow the numerical profits for ST = 0 and ST = X.

2. Compute the price of a European call option with the following parameter values: S = $200, X = $200,
r = 5% p.a., σ = 20%, T = 3 months. Youmay use the “normal” table, and use the closest value in the table to the number that you are looking for. In other words, you need not interpolate.

3. You buy a put option and sell thecorresponding call option. Both options have an exercise price of $100. In addition, you also buy 1 share of IBM stock. What is the net payoff you receive from this 3-asset portfolio if at expiration the priceof each share of IBM stock is a) $120; b) $12. You must draw the relevant graph.

4. A put option expires in the money. What is the price at expiration of a call option written on the same stock andwith the same maturity and exercise price as the put option?

5. A 1-year put option and a 1-year call option are written on the same underlying stock, and both options have the same exercise price.If the current price of the underlying stock is equal to the present value of the exercise price, find the exact relationship between the price of the call option, C, and the price of the put option,P (e.g., the relationship may be something like P = 5C2 + 2/C)

6. Suppose you want to speculate using call options. To do so, you form a short straddle by selling a call (Premium = $8) and sellinga put (Premium = $6), where both options have the same maturity (T=1 year) and the same exercise price (X=$100). a) Draw a graph showing the profits from the two-option portfolio as a function of...