A Logical Approach to Actuarial Mathematics 5 ppt

... value at an accelerating rate as it approaches expiration. Another way of stating this is that the proportion of an option’s daily time decay to its value increases toward expiration. Using ... put. An investor wishing to hedge a fall in the interest rate to 5. 5 per cent could pay 0.04 for the 94 .50 call. The contract multiplier is $ 25, which means that the 94 .50 call has a...

Ngày tải lên: 21/06/2014, 08:20

... 45 4 6 8 2 0 –2 –4 –6 –8 40 42 .5 47 .5 50 52 .5 55 57 .5 60 62 .5 65 Figure 10.2 Expiration profit/loss relating to Table 10.3 Many investors create spreads that combine components of the standard ... spreads Table 10.1 Coca-Cola August options Strike 40.00 42 .50 45. 00 47 .50 50 .00 52 .50 55 .00 57 .50 60.00 June calls 4.04 2 .52 1. 45 0.79 0.34 June puts 0.34 0.47...

Ngày tải lên: 21/06/2014, 08:20

... 25. 98 55 0 2.38 25. 06 55 5 2. 75 23.90 57 0 4 .50 20 .56 57 5 21.00 20. 75 580 17.13 19.60 6. 75 18.87 58 5 13 .50 18.44 8.38 18.21 *59 0 10 .50 17.82 10 .50 17.82 59 5 7. 75 16.98 600 5. 38 16.06 6 05 3.63 15. 49 610 ... the market retraces and stabilises, and time decay begins to eat away at the puts, but by then the put sellers are only too glad to close their position...

Ngày tải lên: 21/06/2014, 08:20

... corresponds to low return. The advantage of options spreads is that each investor can take the amount of risk that he is able to justify and manage. This part outlines the major strategies that spread ... direction greater that the pur- chase price of 12 .5 + 12 .5 = 25. It has two break-even levels, at 4 05 and 355 . Because this position is long both a call and a put, the gamma...

Ngày tải lên: 21/06/2014, 08:20

... directional spreads 9 3 Table 9.3 Coca-Cola long August 55 .00 57 .50 –60.00 call ladder Coca- Cola 52 .50 55 .00 55 .32 57 .50 60.00 62.18 65. 00 (above) Spread debit –0.32 Value of one by one spread at ... tabular form, the expiration profit/loss is as shown in Table 9.1. Table 9.1 Coca-Cola long August 55 -60 one by two call spread Coca- Cola 50 .00 52 .50 55 .00 55 .77 60....

Ngày tải lên: 21/06/2014, 08:20

... Coca-Cola at 52 .67, the August 55 calls are priced at 1. 45. Let’s assume that Coca-Cola immediately rallies $5, to 57 .67. At this point, your short 60 calls will be worth approximately 1. 45, and ... underlying. Consider Coca-Cola at 52 .67; August options with 60 days until expiration: Strike 40.00 42 .50 45. 00 47 .50 50 .00 52 .50 55 .00 57 .50 60.00 August calls 4.04 2 .52...

Ngày tải lên: 21/06/2014, 08:20

... possible. An example of a conversion in stocks is found in the following set of Marks and Spencer options: M&S at 350 .60 May options, 75 DTE May 350 call: 15. 75 May 350 put: 14. 75 part 4 Basic ... opportunity arises, as it does from time to time, it’s an almost risk-free way to make money. So if you learn about the arb, then you’re prepared to take advantage of it when y...

Ngày tải lên: 21/06/2014, 08:20

... $1,137 ,50 (f) March soybeans 55 0 57 5 600 6 25 650 6 75 700 Cost of call –22. 75 Value of call at expiration 0 0 25 50 75 100 1 25 Profit/loss –22. 75 –22. 75 +2. 25 +27. 25 +52 . 25 +77. 25 +102. 25 250 150 50 0 50 – 150 – 250 – 350 – 450 + 253 –47 –147 –247 –347 –447 +53 + 153 BE ... +102. 25 250 150 50 0 50 – 150 – 250 – 350 – 450 + 253 –4...

Ngày tải lên: 21/06/2014, 08:20

... boxes, trading 240 calendar spread 157 , 158 , 3 05 delta 48, 49, 50 , 1 65 9, 306 delta price ratios 178, 306 delta vs gamma, theta and vega 169 early exercise premium 35 gamma 54 –7, 1 65 9, 307 ... short at-the-money call and put 136–7 take a gift 139–40 volatility, dates until expiration and 149 buy-stop 91, 101, 196 buy-write 151 5 risk management 155 –7 calendar spread 1...

Ngày tải lên: 21/06/2014, 08:20

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Ngày tải lên: 09/03/2014, 01:20