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1. Write down the payoff table and draw the payoff diagram (both at expiration) of a portfolio consisting of 1 call option with a strike price K of $60 and 1 put option with a strike price K of $80.
2. Write down the payoff table and draw the payoff diagram (both at expiration) of a portfolio consisting of 1 call short with a strike price K of $60 and 1 put short with a strike price K of $80.
A bank's position in options on the dollar/euro exchange rate has a delta of 30,000 and a gamma of 80,000. Explain how these numbers can be interpreted.
How differences in contract liquidity and design flexibility might influence an investor's preference in choosing one instrument over the other.
Portfolios are organized in a systematic manner for the purpose of communicating and demonstrating what a student has learned and achieved in the context of the course.
What is the European call option price and European put option price, according to the Black-Scholes model, what is the cost of buying a protective put and what is the cost of writing a covered call
You own a portfolio that has $1300 invested in Stock A and $2100 invested in Stock B. If the expected returns on these stocks are 10% and 16%, respectively what is the expected return on the portfolio
What was the average periodic growth rate in NAV over that same period? What was the periodic growth rate in NAV between Periods 1 and 2?
Compute, under the pure expectations theory, the two-year implied forward rate three years from now, given the information provided in the preceding table.
What are the Fama and Sortino portfolio performance measures, and what information do they provide beyond other measures? How can investment performance be measured by analyzing the security holdings of a portfolio?
Advantage of International portfolio diversification-Investing can be an effective way to save for retirement or other long-term goals such as college expenses or elderly care
Compute Shamrock's ROE directly. Confirm this using the three components. Using the ROE computed in Part a, what is the expected sustainable growth rate for Shamrock?
The stock of Trudeau Corporation went from $27 to $45 last year. The firm also paid $2 in dividends during the year. Compute the rate of return and what is the approximate yield to maturity of an 8% coupon bond with a par value of $1,000? The bond..
The information ratio (IR) has been described as a benefit-cost ratio. Explain how the IR measures portfolio performance and whether this analogy is appropriate.
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