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(solution) 1 2 3 4 5 6 7 A INPUTS Standard deviation (annual) Expiration (in


Hello finance tutors. I need help on 3 finance problems, due tomorrow (December 9) at 10AM. Please see attached. Thank you so much!


1

 

2

 

3

 

4

 

5

 

6

 

7 A

 

INPUTS

 

Standard deviation (annual)

 

Expiration (in years)

 

Risk-free rate (annual)

 

Stock Price

 

Exercise price

 

Dividend yield (annual) B

 

0.2700

 

0.05

 

0.06

 

100

 

105

 

0.03 C D

 

OUTPUTS

 

d1

 

d2

 

N(d1)

 

N(d2)

 

B/S call value

 

B/S put value E

 

-0.7531

 

-0.8135

 

0.2257

 

0.2080

 

0.7639

 

5.5992 F G

 

H

 

I

 

J

 

K

 

FORMULA FOR OUTPUT IN COLUMN E

 

LN(B5/B6)+(B4-B7+.5*B2^2)*B3)/(B2*SQRT(B3))

 

E2-B2*SQRT(B3)

 

NORMSDIST(E2)

 

NORMSDIST(E3)

 

B5*EXP(-B7*B3)*E4 - B6*EXP(-B4*B3)*E5

 

B6*EXP(-B4*B3)*(1-E5) - B5*EXP(-B7*B3)*(1-E4) Stock 1 Price Stock 2 Price Stock 3 Price Stock 4 Price Stock 5 Price Portfolio Value

 

Week 1 (10/14 closing)

 

Week 2 (10/21 closing)

 

Week 3 (10/28 closing)

 

Week 4 (11/4 closing)

 

Week 5 (11/11 closing)

 

Week 6 (11/18 closing)

 

Week 7 (11/25 closing)

 

Week 8 (12/2 closing) Portfolio return SPY price 100,000 NA SPY portfolio value SPY return 100,000 NA

 


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DATE ANSWERED

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