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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 319
Table 13.22 Prot from a Buttery Spread Using Puts
S
T
(INR)
Bought Put
Value (
S
X
= INR
1,200) (INR)
Bought Put Value
(
S
X
= INR 1,300)
(INR)
Value of the Two
Written Calls (
S
X
=
INR 1,250) (INR)
Value of
Buttery
Spread
(INR)
1,000 170 200 400 30
1,050 120 150 300 30
1,100 70 100 200 30
1,150 20 50 100 30
1,200 30 0 0 30
1,250 30 50 100 +20
1,300 30 100 100 30
1,350 30 100 100 30
1,400 30 100 100 30
1,450 30 100 100 30
1,500 30 100 100 30
–40
–30
–20
–10
0
10
20
30
1000 1050 1100 1150 1200 1250 1300 1350 1400 1450 1500
Stock Price at Maturity
Gain
Figure 13.19 The Gain from a Buttery Spread Using Puts ...
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Publisher Resources

ISBN: 9781299447547Publisher Website