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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 335
8. A stock is trading at INR 1,240 on October 1. Call options and
put options with dierent exercise dates and exercise prices are
available, as shown in the following table.
Exercise date
November 27
November 27
November 27
December 26
December 26
December 26
Exercise Price
(INR)
1,300
1,250
1,350
1,300
1,250
1,350
Call Price
(INR)
80
145
20
110
180
45
Put Price
(INR)
110
50
175
140
85
210
e stock price on November 27 is INR 1,280 and that on
December 26 is INR 1,340. A December 1,300 call option is
priced at INR 60, a December 1,250 call is priced at INR 110, and
a December 1,350 call is priced at INR 15. ...
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Publisher Resources

ISBN: 9781299447547Publisher Website