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  • PD 2 Ejercicios 1-5

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    1. The document details the payoff and profit amounts for buying and selling call and put options. Buying a call yields a payoff of $2,000,000 and profit of $1,999,000, while selling a call results in a payoff of $(2,000,000) and profit of $(1,999,000). Buying a put has no payoff but a $500 loss, while selling a put has no payoff but a $500 profit. 2. Spot and future values are provided for two scenarios. 3. Formulas are given for calculating gross and net utility based on spot price and a percentage fee. 4. The investment amounts for two

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    2. PD 2 Ejercicios 1-5

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    1. The document details the payoff and profit amounts for buying and selling call and put options. Buying a call yields a payoff of $2,000,000 and profit of $1,999,000, while selling a call results in a payoff of $(2,000,000) and profit of $(1,999,000). Buying a put has no payoff but a $500 loss, while selling a put has no payoff but a $500 profit. 2. Spot and future values are provided for two scenarios. 3. Formulas are given for calculating gross and net utility based on spot price and a percentage fee. 4. The investment amounts for two

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    8 views4 pages

    PD 2 Ejercicios 1-5

    Uploaded by

    LIMA
    1. The document details the payoff and profit amounts for buying and selling call and put options. Buying a call yields a payoff of $2,000,000 and profit of $1,999,000, while selling a call results in a payoff of $(2,000,000) and profit of $(1,999,000). Buying a put has no payoff but a $500 loss, while selling a put has no payoff but a $500 profit. 2. Spot and future values are provided for two scenarios. 3. Formulas are given for calculating gross and net utility based on spot price and a percentage fee. 4. The investment amounts for two

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 4

    1.

    C
    Compra call
    Payoff USD 2,000,000
    Profit USD 1,999,000

    Venta call
    Payoff USD (2,000,000)
    Profit USD (1,999,000)

    Compra put
    Payoff USD -
    Profit USD (500)

    Venta put
    Payoff USD -
    Profit USD 500

    2
    a Valor Futuro (5,688)
    b Valor Futuro (24,900)

    b Spot = 0.65046
    c Utilidad Bruta
    0.05 $/S$

    Utilidad Neta
    0.04954 $/S$

    d Utilidad Bruta
    0.15 $/S$

    Utilidad Neta
    0.14954 $/S$

    a USD 12,500,000
    b USD 12,000,000
    Pay off / Profit

    S
    Call
    Buyer 3.3 3.4 3.5 3.6 3.7 3.8
    An investor purchases a call on a PEN/USD, with an exercise price of $3.5 and a premium of PEN 0.008/USD, and pu
    same maturity that has an exercise price of $3.5 and a premium of PEN 0.006/USD. Compute and graphic the payo
    the exchange rate is 3.8 and 3.5. Consider an operation amount of 1M USD for each contract

    a. Call MAX(0,(S-X)) Put MAX(0,(X-S))

    Spot 3.6 0.1 0


    Strike 3.5

    Primas 0.008 0.006

    Pay off 92,000 (6,000)

    b. Call MAX(0,(S-X)) Put MAX(0,(X-S))

    Spot 3.5 0 0
    Strike 3.5

    Primas 0.008 0.006

    Pay off (8,000) (6,000)


    mium of PEN 0.008/USD, and purchases a put option with the
    Compute and graphic the payoff of the investor’s operation if
    contract

    ut MAX(0,(X-S))

    Total: 86,000

    ut MAX(0,(X-S))

    Total: (14,000)

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