Let

We will derive a two-state put option value in this problem. Data: S0 = $180; X = $190; 1 + r = 1.10. The two possibilities for ST are $210 and $110.a. The range of S is $100 while that of P is $80 across the two states. What is the hedge ratio of the put? (Negative value should be indicated by a minus sign. Round your answer to 2 decimal places.) (The answer for this one is -.80) :)b. Form a portfolio of four shares of stock and five puts. What is the (nonrandom) payoff to this portfolio? (Round your answer to 2 decimal places.) c. What is the present value of the portfolio? (Round your answer to 2 decimal places.) d. Given that the stock currently is selling at $180, calculate the put value. (Do not round intermediate calculations and round your answer to 2 decimal places.)

You establish a straddle on ZLAB using a call and a put option with the same expiration date and the same strike price of $30. The call premium is $3.4 and the put premium is $3.9. What is the most you can lose on this position (per share)?

Assume that K=61, St =65, t = 0.25 (i.e. time to expiry is 3 months), and the risk-free rate is 0.04. The current price of the put option is p = 4.  What would the price of the call option ‘c’ need to be for put-call parity to hold?

Consider a call and a put options with the same strike price and time to expiry. Given that the strike price is exactly equals to the forward price, then:   A. Put and call have same premium   B. The premium of the put is equal to the forward price   C. The premium of the put is equal to the premium of the call plus the present value of the strike   D. The premium of the call is equal to the forward price

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What does it mean to assert that the delta of a call option is 0.7? How can a short position in 1,000 options be made delta neutral when the delta of each option is 0.7?

A. An option is trading at $5.03. If it has a delta of -.56, what would the price of the option be if the underlying increases by $.75? What would the price of the option be if the underlying decreases by $.55? B. What type of option is this and how? C. With a delta of -.56, is this option ITM, ATM or OTM and how?

Assume an interest rate of zero. A Call option and a Put option with the same exercise price, X = 100p are priced at 9p for the Call and 4p for the Put. What is the price of the synthetic share?

V You buy a straddle, which means you purchase a put and a call with the same strike price. The put price is $2.80 and the call price is $4.20. Assume the strike price is $75.   What is the cost of this strategy?          2. What are the break-even stock prices