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There are call and sell options on the shares in Nord AS with a redemption price of NOK 55 and one year to maturity

Finance Dec 09, 2021

There are call and sell options on the shares in Nord AS with a redemption price of NOK 55 and one year to maturity. Today's share price is NOK 50. At the end of the year, the stock price will either be 30 kroner or 80 kroner. The risk-free interest rate of 3% per. year.

 

a) What is the value of call options today?

 

b) What is the value of the sell options today if the sell-buy parity holds?

 

 

You have a portfolio of 2000 shares in Nord AS, but are starting to worry about that price will fall. You therefore want to secure yourself by using options.

 

c) Show how you can use call and put options to secure your position. Explain.

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