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The control derivative securities in 2010
Refunds: 1
Uploaded: 11.10.2010
Content: 01011215820233.rar 34,99 kB
Product description
Mini-1 situation.
Director of finance company instructs you to create a risk-free portfolio of stocks by selling or buying a call- put-option and to determine their intrinsic value based on expected developments in the capital market:
The share price, rubles. The risk-free rate of return, per cent.
the current maximum performance at minimum option
70 80 40 60 5
Mini-2 situation.
Director of finance company understands that stock prices (mini Situation 1) may deviate from the minimum and maximum values \u200b\u200bexpected in the market, therefore requests you to make the payment schedules of long and short straddle and advice about investments, depending on future prices of financial assets.
Mini 3 situation.
Director of finance company, realizing that any expert (including himself and you) can make mistakes on the expectations of future stock prices (mini-situation 1, 2), instructs you to create a trading strategy put-call-parity to implement a risk-free investment during any future share price and estimate the cost of risk-free portfolio at the time the options are exercised. Make recommendations on the need to implement the strategy.
Additional information
Contents
Mini situation 1. 4
Solution: 4
Mini situation 2. 6
Solution: 6
Mini situation 3. 9
Solution: 9
References 11
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