Logo
Home Study Material Contact Search
AI Chat FREE
  1. business
  2. finance
  3. you own one call option and one put option on shel

You own one call option and one put option on Shell, both with a strike price...

90.2K

Verified Solution

Question

Finance

You own one call option and one put option on Shell, both with astrike price of 80. The interest rate is 5% and the time toexpiration is nine months. The standard deviation of Shell is 25percent. Graph on the same graph the value of the call and the putas the price of Shell goes from 70 to 130. (So that is two lines onthe same graph.) Note:at least 50 data points on the graphs

Answer & Explanation Solved by verified expert
4.5 Ratings (785 Votes)
We use BlackScholes Model to calculate the value of the calland put optionsAs an example we calculate the value of the call and put optionwhen the price of Shell is 70The value of a call and put option areC S0 Nd1 Kert Nd2P K ertNd2 S0Nd1where S0 current spot priceK strike priceNx is the cumulative normal distribution functionr riskfree interest ratet is the time to maturity in yearsd1    See Answer
Get Answers to Unlimited Questions

Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!

Membership Benefits:
  • Unlimited Question Access with detailed Answers
  • Zin AI - 3 Million Words
  • 10 Dall-E 3 Images
  • 20 Plot Generations
  • Conversation with Dialogue Memory
  • No Ads, Ever!
  • Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
Become a Member

Transcribed Image Text

You own one call option and one put option on Shell, both with astrike price of 80. The interest rate is 5% and the time toexpiration is nine months. The standard deviation of Shell is 25percent. Graph on the same graph the value of the call and the putas the price of Shell goes from 70 to 130. (So that is two lines onthe same graph.) Note:at least 50 data points on the graphs

Other questions asked by students

Mechanical Engineering
1.2K views

An ideal Rankine Cycle with reheat uses water as the working fluid with a flow rate...

Biology
1.2K views

Which of the following statements about the polymerization of macromolecules is false Often the energy...

Basic Math
1.2K views

1 A portfolio is composed of two stocks A and B Stock A has a...

Basic Math
1.2K views

What is the value of ZA A 16 4 B 19 1 C 32 8...

Basic Math
1.2K views

Solve for Y s the Laplace transform of the solution y t to the initial...

Algebra
1.2K views

Given f x 17x g x f g x 10x 9 15x 119x 153 O...

Algebra
1.2K views

What are the domain and range of the function f x OD X E R...

Accounting
1.2K views

ACCT TAX Jackie has QBI of $200,000 from an S corporation that paid...

Accounting
1.2K views

Questions b, b, and I war X Company sold 67.600 units of its only product...

Accounting
1.2K views

On January 2, 2020, Blette Co. purchased a machine for $240,000 and depreciated it by...

Accounting
1.2K views

uheheh

Finance
1.2K views

QUESTION 38 Year 1 Year 2 Year 3 Revenues 500,000 500,000 500,000 - Cost of...