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Derivatives and Risk Management, 1st Edition
book

Derivatives and Risk Management, 1st Edition

by Sundaram Janakiramanan
May 2024
Intermediate to advanced content levelIntermediate to advanced
542 pages
27h 26m
English
Pearson India
Content preview from Derivatives and Risk Management, 1st Edition
268 Derivatives and Risk Management
Table 12.6 Terminal Value of a Written Call Option (S
X
= INR 260)
Terminal Stock Price (
S
T
) (INR) Option Value Min (
S
X
S
T
, 0) (INR)
230 0
250 0
270 0
290 0
300 0
310 –10
330 –30
350 –50
370 –70
80
70
60
50
40
30
20
10
0
230
Stock Price at Maturity
Terminal Value of a Written Call
250 270 290 310 330 350 370
Figure 12.5 Terminal Value of a Written Call
In Table 12.6, the option value is zero when the stock price is less than the exercise price, because the
option buyer would not exercise the option. When the stock price is above the exercise price, the option
buyer will exercise the option and hence the value of the ...
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Publisher Resources

ISBN: 9781299447547Publisher Website