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Riskfree rate |
10% |
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Strike Price |
$50.00 |
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Stock Price |
$50.00 |
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Short call option |
1.0 |
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Shares |
(0.50) |
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Put |
Delta |
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Time |
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Option |
Share |
Port |
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0.000 |
0.500 |
|
0.500 |
0.500 |
0.500 |
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$55.00 |
|
$0.00 |
($27.50) |
($27.50) |
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$50.00 |
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$45.00 |
|
($5.00) |
($22.50) |
($27.50) |
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PV of Portfolio |
|
($26.16) |
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Option Value |
|
$1.16 |
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Alternative Approach |
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Prob of up jump |
p |
0.7564 |
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Option value |
|
$1.16 |
<< Discounted expected option |
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payoff at riskless rate |
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