Option Markets and Contracts IV
About the Lecture
The lecture Option Markets and Contracts IV by Edu Pristine is from the course Archiv - Derivatives. It contains the following chapters:
- Option Prices vs. Exercise Prices
- Effect of Variables on Option Pricing
- Put Call Parity Derivation
- Put Call Parity Relationships
- Impact of Assets with Positive Cash Flows
- Effect of Interest Rates
- Effect of Volatility
Author of lecture Option Markets and Contracts IV
Edu Pristine
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Excerpts from the accompanying material
... Disclaimer: CFA Institute does not endorse, promote, or warrant the accuracy or quality of the products or services offered by Pristine. CFA Institute, ...
... and Chartered Financial Analyst; are trademarks owned by CFA Institute. The LOS are the sole property of the CFA Institute; European ...
... but the value of the call option will decrease B. Value of the put option will decrease, but the value of the call option will increase C. Value of both the ...
... not endorse, promote, or warrant the accuracy or quality of the products or services offered by Pristine. CFA Institute, CFA ®, and Chartered Financial Analyst ® ...
... The value of an option cannot be negative. Disclaimer: CFA Institute does not endorse, promote, or warrant the accuracy or quality of the products or services offered by Pristine. CFA Institute, CFA ...
... Portfolio C: European put on the stock + the stock "Aka protective put". Both are worth max at the maturity of the options. They must therefore be worth the same today. This means that "used to create synthetic securities" Assuming dividends are paid "put call parity assumes no dividends". Consider the following ...
... to the stock price: 1. Minus the future value of the exercise price. ...
... a 3 months call at $ 60 is selling for $2 where as a 3 months put at $60 is ...
... the same amount as the exercise price of the call option. 2. The payoff is equal to stock price of the underlying asset when the call is in ...
... a stock + long the stock 1. The correct answer is minus the present value of the exercise price. 2. The correct answer is $2.87. If the put call parity equation does not hold true then there is a chance of arbitrage. The synthetic stock price is given by S = C- P +X/(1+RFR) T where C = $2 P = $14 X =$60 RFR = 6% and T =0.25 years synthetic price S = 47.13. Since the stock is selling for $50 so you can immediately short a share for $50 and buy a synthetic for an immediate arbitrage profit of $2.87. 3. The correct answer is it consists of a share of a stock together ...
