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Posted: **Sun Jun 05, 2022 6:49 am**

: 5 Assume That An Index Price Is Quoted 1000 Effective Interest Rates Are Discrete And Quoted 2 Per Cent For 6 Months 1 (14.04 KiB) Viewed 42 times

: 5 Assume That An Index Price Is Quoted 1000 Effective Interest Rates Are Discrete And Quoted 2 Per Cent For 6 Months 2 (14.04 KiB) Viewed 42 times

: 5 Assume That An Index Price Is Quoted 1000 Effective Interest Rates Are Discrete And Quoted 2 Per Cent For 6 Months 3 (14.04 KiB) Viewed 42 times

5. Assume that an index price is quoted 1000. Effective interest rates are discrete and quoted 2 per cent for 6-months. A 1000 strike price, maturity 6-months call option has a value of 93.809. The put is quoted 74.201. After 6-months the index price was 900. Find the P&L (profit and loss) of the long index and short put portfolio. (A) 100.68 (B) 95.68 (C) 79.54 (D) -95.68 (E)-100.68
5. Assume that an index price is quoted 1000. Effective interest rates are discrete and quoted 2 per cent for 6-months. A 1000 strike price, maturity 6-months call option has a value of 93.809. The put is quoted 74.201. After 6-months the index price was 900. Find the P&L (profit and loss) of the long index and short put portfolio. (A) 100.68 (B) 95.68 (C) 79.54 (D) -95.68 (E) -100.68