Posted: September 9th, 2024

Chapter 11. Option Pricing: An Introduction

2. Give an example of a derivative where the delta may be either
positive or negative for di erent ranges of the stock price. (Use your
imagination here.)

3.
A stock is currently trading at 80. You hold a portfolio
consisting of the following:

What Citation Formats Do You Support?

We hear “Can you write in APA or MLA?” all the time—and the answer’s a big yes, plus way more! Our writers are wizards with every style—APA, MLA, Harvard, Chicago, Turabian, you name it—delivering flawless formatting tailored to your assignment. Whether it’s a tricky in-text citation or a perfectly styled reference list, they’ve got the skills to make your paper academically spot-on.

(a)
Long 100 units of stock.

(b)
Short 100 calls, each with a strike of 90.

(c)
Long 100 puts, each with a strike of 70.

Suppose the delta of the 90-strike call is
0.45 while the delta of the 70-strike put is 0:60. What is the aggregate delta
of your portfolio?

Are Paper Services Legal?

Yes, completely! They’re a valid tool for getting sample papers to boost your own writing skills, and there’s nothing shady about that. Use them right—like a study guide or a model to learn from—and they’re a smart, ethical way to level up your grades without breaking any rules.

4. (Di cult) Compare the replication of an option in a binomial model
versus replication in a trinomial model by answering the following questions:

(a)
How many securities do we need to carry out replication in each
model?

(b)
Is the risk-neutral probability de ned in each model unique?

How Much for a Paper?

Prices start at $10 per page for undergrad work and go up to $21 for advanced levels, depending on urgency and any extras you toss in. Deadlines range from a lightning-fast 3 hours to a chill 14 days—plenty of wiggle room there! Plus, if you’re ordering big, you’ll snag 5-10% off, making it easier on your wallet while still getting top-notch quality.

.

5.
In a binomial framework, if the risk-neutral probability on the up
branch is given as p = 0:8956, the risk-free rate per period is 2%, and the
down move is the reciprocal of the up move, then, given a current stock price
of $100, what are the two prices a period from now?

Sundaram
& Das: Derivatives - Problems and Solutions . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . 136

6. In the question above, suppose we have a one-period call option
with a strike price of $100, what is the delta of the call? If the up-shift
parameter u is increased to 1.5, then what is the delta of the call? Is it
higher or lower? Why?

Will Anyone Find Out I Used You?

Nope—your secret’s locked down tight. We encrypt all your data with top-tier security, and every paper’s crafted fresh just for you, run through originality checks to prove it’s one-of-a-kind. No one—professors, classmates, or anyone—will ever know you teamed up with us, guaranteed.

7. A stock is currenly trading at
80. There are one-month calls and puts on the stock with strike prices of 70,
75, 80, 85, and 90. The price and delta of each of these options is given
below:

Strike

70

75

Do You Rely on AI?

Not even a little—our writers are real-deal experts with degrees, crafting every paper by hand with care and know-how. No AI shortcuts here; it’s all human skill, backed by thorough research and double-checked for uniqueness. You’re getting authentic work that stands out for all the right reasons.

80

85

90

Call Price

Why Are You Top for Research Papers?

Our writers are Ph.D.-level pros who live for nailing the details—think deep research and razor-sharp arguments. We pair that with top plagiarism tools, free revisions to tweak anything you need, and fast turnarounds that don’t skimp on quality. Your research paper won’t just shine—it’ll set the bar.

10.60

6.47

3.39

1.50

Who’s Behind My Essays?

You’re in good hands with degree-holding pros—many rocking Master’s or higher—who’ve crushed our tough vetting tests in writing and their fields. They’re your partners in this, hitting tight deadlines and academic standards with ease, all while tailoring every essay to your exact needs. No matter the topic, they’ve got the chops to make it stellar.

0.56

Put
Price

0.30

1.15

Is My Paper Original?

100%—we promise! Every paper’s written fresh from scratch—no AI, no copying—just solid research and proper citations from our expert writers. You can even request a plagiarism report to see it’s 95%+ unique, giving you total confidence it’s submission-ready and one-of-a-kind.

3.05

6.14

10.18

Call

Can You Do Any Citation Style?

Yep—APA, Turabian, IEEE, Chicago, MLA, whatever you throw at us! Our writers nail every detail of your chosen style, matching your guidelines down to the last comma and period. It’s all about making sure your paper fits academic expectations perfectly, no sweat.

0.92

0.77

0.54

0.31

Can I Adjust Instructions Later?

Absolutely—life happens, and we’re flexible! Chat with your writer anytime through our system to update details, tweak the focus, or add new requirements, and they’ll pivot fast to keep your paper on point. It’s all about making sure the final draft is exactly what you need, no stress involved.

0.14

Put

0:08

0:23

How Do I Get Started?

It’s super easy—order online with a few clicks, then track progress with drafts as your writer works their magic. Once it’s done, download it from your account, give it a once-over, and release payment only when you’re thrilled with the result. It’s fast, affordable, and built with students like you in mind!

0:46

0:69

0:86

Sundaram
& Das: Derivatives - Problems and Solutions . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . 137

How Fast for Rush Jobs?

We can crank out a killer paper in 24 hours—quality locked in, no shortcuts. Just set your deadline when you order, and our pros will hustle to deliver, even if you’re racing the clock. Perfect for those last-minute crunches without compromising on the good stuff.

For each of the
following portfolios, identify (i) the current value of the portfolio, and

(ii) the approximate value of the portfolio following a $1 decrease in
the stock price.

(a)
Long 100 units of stock, short 100 units of the 80-strike call.

(b)
Long 1000 units of the 80-strike call and 1174 units of the
80-strike put.

(c) Long 100 units of stock, long 100 units of the 75-strike put, and
short 100 units of the 85-strike call.

Can You Handle Complex Subjects?

For sure! Our writers with advanced degrees dive into any topic—think quantum physics or medieval lit—with deep research and clear, sharp writing. They’ll tailor it to your academic level, ensuring it’s thorough yet easy to follow, no matter how tricky the subject gets.

(d) Long 100 units of the 70-strike call, long 100 units of the
90-strike call, and short 200 units of the 80-strike call.

(e)
Long 100 units of the 85-strike put and short 100 units of the
75-strike put.

8. ABC stock is currently trading at 100. In the next period, the
price will either go up by 10% or down by 10%. The risk-free rate of interest
over the period is 5%.

(a) Construct a replicating portfolio to value a call option written
today with a strike price of 100. What is the hedge ratio?

(b)
Calculate the risk-neutral probabilities in the model. Value the
same call option using the risk-neutral probabilities. Check that you get the
same answer as in part
(a).

How Do You Meet Prof Standards?

We stick to your rubric like glue—nailing the structure, depth, and tone your professor wants—then polish it with edits for that extra shine. Our writers know what profs look for, and we double-check every detail to make sure it’s submission-ready and grade-worthy.

(c) Using the risk-neutral probabilities, nd the value of a put option
written today, lasting one period, and with an exercise price of 100.

(d)
Verify that the same price for the put results from put-call
parity.

Tags: Ace My Homework: Essay Help, Assignment Help: USA's #1 Online Assignment Writing Service, Do My Assignment for Me Online - Write Academic Papers, Reliable Online Homework Help For You