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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
Combinations of Options: Trading Strategies 315
3. Buying a put at P
H
with the high exercise price S
H
4. Writing a call at C
H
with the high exercise price S
H
e value of this box spread = C
L
P
L
+ P
H
C
H
= (C
L
C
H
) – (P
L
P
H
)
where, C
L
and C
H
represent the price of the call options with the low exercise price and high exercise
price, respectively, and P
L
and P
H
represent the price of put options with the low exercise price and high
exercise price, respectively.
Table 13.18 shows that the terminal value of a box spread is equal to the dierence in the exercise
prices, irrespective of the stock price in the market. e current value of the ...
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Publisher Resources

ISBN: 9781299447547Publisher Website