For this case study, we assume that Nikkei Index is a tradable securities just like usual stock. No fee or tax are considered in this case. On October 1, you purchased Nikkei Index at a price of 31,100 JPY ("Long Position"). On October 1, Nikkei Index "Put" Options are traded with various strike prices as follows: Price of Put Option 305 210 120 50 30 15 Price Underlying: Call or Put : Maturity : American or European : 31,300 31,200 31,100 31,000 30,900 Nikkei Index on Dec.8 Nikkei Index Put Dec. 8 European 31,100 (Sample Question 1) You buy the Put Option of strike price 31,100. What is your total payoff (Long Nikkei and Put Option) at maturity if the stock price is shown below. Money paid to purchase Put Option Strike Price Initial money paid to hold Long Position Strike Price 31,400 31,300 31,200 31,100 31,000 30,900 Payoff from Put Payoff from Option (if Long Position exercised) (if no exercise) Total Payoff
For this case study, we assume that Nikkei Index is a tradable securities just like usual stock. No fee or tax are considered in this case. On October 1, you purchased Nikkei Index at a price of 31,100 JPY ("Long Position"). On October 1, Nikkei Index "Put" Options are traded with various strike prices as follows: Price of Put Option 305 210 120 50 30 15 Price Underlying: Call or Put : Maturity : American or European : 31,300 31,200 31,100 31,000 30,900 Nikkei Index on Dec.8 Nikkei Index Put Dec. 8 European 31,100 (Sample Question 1) You buy the Put Option of strike price 31,100. What is your total payoff (Long Nikkei and Put Option) at maturity if the stock price is shown below. Money paid to purchase Put Option Strike Price Initial money paid to hold Long Position Strike Price 31,400 31,300 31,200 31,100 31,000 30,900 Payoff from Put Payoff from Option (if Long Position exercised) (if no exercise) Total Payoff
Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter5: Financial Options
Section: Chapter Questions
Problem 5MC: In 1973, Fischer Black and Myron Scholes developed the Black-Scholes option pricing model...
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