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Hull 13.08 |
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Stock Price |
$38.00 |
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Exp Return |
16.0% |
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Volatility |
35.0% |
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Period (Years) |
0.5 |
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Distribution of LN(St) is ~N() |
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Expected |
3.687 |
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Std Dev |
0.2475 |
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Exercise @ |
$40.00 |
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13.08a (call) |
49.69% |
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13.08b (put) |
50.31% |
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95% VaR |
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Significance |
5% |
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One-tail |
(1.645) |
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Two-tail |
(1.960) |
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13.08c. Lower of Interval |
$24.58 |
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13.08c. Upper of Interval |
$64.85 |
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13.08d. VaR (One-tail) |
$26.57 |
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Expected Price |
$39.92 |
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13.08d. Absolute VaR |
$11.43 |
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13.08d. Relative VaR |
$13.35 |
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Checking w/ Hull method: |
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3.687 |
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0.06 |
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0.25 |
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24.57906 |
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64.84680 |
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