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hull.15.16 by btzoho  152 views
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Hull.15.16
Fund Value (MM)$360.0Call option
Multiple of Index$300,000d10.4186
N(d1)0.6622
1Stock (S)$1,200.00 d20.2064
2Strike (K)$1,140.00 N(d2)0.5818
3Volatity30.0%Call Price$139.228
Variance9.00%
4Riskfree (r)6.00%Put option
5Term (T)0.50-d1-0.4186
6Div Yield3.00%N(-d1)0.3378
-d2-0.2064
N(-d2)0.4182
Put Price$63.401
(a) Insurance Cost (MM)$19.020
(c) Delta of Put (0.3327)
Put-call parity
Call + Dis[Strike] 1,245.54
Put + Stock 1,245.54
hull_15_16
 
     
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