Example AFI has SOLD for $300,000 a European call on 100,000 shares of a non-dividend paying stock: S 0 =49 =50 r=5%=20% μ=13% T =20 weeks The Black-Scholes value of the option is $240,000 How does the Fl hedge its risk?
第一章 15 (a)The trader sells 100 million yen for $0.0080 per yen when the exchange rate is $0.0074 per yen. The gain is 100x0.0006 millions of dollars or $60,000. ()The trader sells 100 million yen for $0.0080 per yen when the exchange rate is $0.0091 per yen. The loss is 100.0011 millions of dollars or $110,000. 1.6 you could buy 5,000 put options (or 50 contracts)with a strike price of