a. Estimate the price of the 75-strike call option if the stock
price three days from today is
70.
b. A portfolio consists of the following:
4 long call options with K=70
3 short call options with K=80
6 long put options with K=75
2 short put options with K=70
N shares of stock
Determine the value of N (which can be positive or negative) so
that the portfolio is delta
neutral.
Strike Price 70 75 80 Option Price 7.00 4.50 2.75 Delta 0.61 0.46 0.33 Gamma .027 .028 .029 Theta (annual) -3.75 -3.65 -3.55
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