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2021-02-02
Question 1 A financial institution has the following trading strategy using option: Type position stick price option premium put 1 $55 $3 put -2 $60 $5 put 1 $65 $8 A. construct a table showing the payoff and profit from the strategy B. for what range of stock prices would the strategy lead to a loss Question 2 Consider a 2 year American put option on a non-dividend paying stock. the current stock price is $200, the strike price is $210, the risk free rate of interest rate is 3% per annum and the stock price is expected to either increase by 6% per annum or decrease by 4% per annum with equal probability A. use a two period binomial model to calculate the current value of the option B. should the option be exercised early? if so, provide full details
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