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Category > Business & Finance Posted 15 Aug 2017 My Price 6.00

A 3-year maturity structured prod uot on SPY has the following payoff:

 

Q3.png

  1. (a) Use Excel to draw this payoff pattern for the following price range [50 , 650] with a step of 10.
  2. (b) Price this product using the binomial tree. Show the values of delta at each node.
  3. (c) What is the total net cash-flow of a delta-hedged sale of this product?

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Status NEW Posted 15 Aug 2017 04:08 PM My Price 6.00

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