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Hull.15.16 |
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Fund Value (MM) |
$360.0 |
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Call option |
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Multiple of Index |
$300,000 |
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d1 |
0.4186 |
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N(d1) |
0.6622 |
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| 1 |
Stock (S) |
$1,200.00 |
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d2 |
0.2064 |
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| 2 |
Strike (K) |
$1,140.00 |
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N(d2) |
0.5818 |
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| 3 |
Volatity |
30.0% |
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Call Price |
$139.228 |
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Variance |
9.00% |
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| 4 |
Riskfree (r) |
6.00% |
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Put option |
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| 5 |
Term (T) |
0.50 |
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-d1 |
-0.4186 |
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| 6 |
Div Yield |
3.00% |
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N(-d1) |
0.3378 |
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-d2 |
-0.2064 |
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N(-d2) |
0.4182 |
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Put Price |
$63.401 |
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(a) Insurance Cost (MM) |
$19.020 |
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(c) Delta of Put |
(0.3327) |
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Put-call parity |
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Call + Dis[Strike] |
1,245.54 |
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Put + Stock |
1,245.54 |
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