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Non-Dividend-Paying Stock Assignment | Homework For You

3. Suppose that the price of a non-dividend-paying stock is $32, its volatility is 30%, and the risk-free rate for all maturities is 5% per annum. Use DerivaGem to calculate the cost of setting up the following positions. In each case provide a table showing the relationship between profit and final stock price. Ignore the impact of discounting. Homework For You(a) A bull spread using European call options with strike prices of $25 and $30 and a maturity of six months.
(b) A bear spread using European put options with strike prices of $25 and $30 and a maturity of six months.
(c) A butterfly spread using European call options with strike prices of $25, $30 and $35 and a maturity of one year.
(d) A butterfly spread using European put options with strike prices of $25, $30 and $35 and a maturity of one year. Get Finance homework help today

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