Current price, S 80

Exercise price, X 80
interest rate, r 8%
T 1
d 3
t 0.5

minimum option price 3.268323972

St one call one put comb tow puts comb
0 -10 44 34 88 78
5 -10 39 29 78 68
10 -10 34 24 68 58
15 -10 29 19 58 48
20 -10 24 14 48 38
25 -10 19 9 38 28
30 -10 14 4 28 18
35 -10 9 -1 18 8
40 -10 4 -6 8 -2
45 -10 -1 -11 -2 -12
50 -10 -6 -16 -12 -22
55 -10 -6 -16 -12 -22
60 -10 -6 -16 -12 -22
65 -5 -6 -11 -12 -17
70 0 -6 -6 -12 -12
75 5 -6 -1 -12 -7
80 10 -6 4 -12 -2
85 15 -6 9 -12 3
90 20 -6 14 -12 8
95 25 -6 19 -12 13
100 30 -6 24 -12 18
105 35 -6 29 -12 23
110 40 -6 34 -12 28
115 45 -6 39 -12 33
120 50 -6 44 -12 38
125 55 -6 49 -12 43
130 60 -6 54 -12 48

Chart Title
70
60
50
40
30
20
10
0
0 20 40 60 80 100 120 140
-10
-20

one call one put comb

 Chart Title
160
140
120
100
80
60
40
20
0
0 20 40 60 80 100 120 140
-20
-40

one call three puts comb

three puts comb
132 122
117 107
102 92
87 77
72 62
57 47
42 32
27 17
12 2
-3 -13
-18 -28
-18 -28
-18 -28
-18 -23
-18 -18
-18 -13
-18 -8
-18 -3
-18 2
-18 7
-18 12
-18 17
-18 22
-18 27
-18 32
-18 37
-18 42

Chart Title
100

80

60

40

20

0
0 20 40 60 80 100 120 140
-20

-40

one call tow puts comb

 0
0 20 40 60 80 100 120 140
-20

-40

one call tow puts comb

Chart Title
160
140
120
100
80
60
40
20
120 140
0
0 20 40 60 80 100 120 140
-20
-40

three puts one put tow puts

120 140
Current price, 100

Profit from
Stock written purchased X
maturity, T 1 price call, X=90 = 100
Call, St 100 100 20 -20
0 30 -20
X1 90 5 30 -20
price of call1 30 10 30 -20
X2 100 15 30 -20
price of call 2 20 20 30 -20
25 30 -20
comp int rate 10% 30 30 -20
35 30 -20
40 30 -20
profit from wr 20 45 30 -20
Profit from p -20 50 30 -20
bull spread pr 0 55 30 -20
60 30 -20
65 30 -20
70 30 -20
75 30 -20
80 30 -20
85 30 -20
90 30 -20
95 25 -20
100 20 -20
105 15 -15
110 10 -10
115 5 -5
120 0 0
125 -5 5
130 -10 10
135 -15 15
140 -20 20
145 -25 25
150 -30 30
Spread
profit
0
10
10
10
10
10
10
10
10
10
10
10
10
10
10
10
10
10
10
Chart Title
10 40

5 30
0 20
0 10
0 0
0 0 20 40 60 80 100 120 140 160
-10
0
-20
0
-30
0
0 -40
0 Column F Column G Column H
0
0
 20 140 160

mn H
S 95
ex price, X 90
C 8

St one call two call one share

0 -8 -16 -95
2 -8 -16 -93 Chart Title
4 -8 -16 -91 40
6 -8 -16 -89 20
8 -8 -16 -87
0
10 -8 -16 -85 0 20 40 60 80 100
-20
12 -8 -16 -83
14 -8 -16 -81 -40

16 -8 -16 -79 -60

18 -8 -16 -77 -80
20 -8 -16 -75 -100
22 -8 -16 -73 -120
24 -8 -16 -71
one call one share
26 -8 -16 -69
28 -8 -16 -67
30 -8 -16 -65
32 -8 -16 -63
34 -8 -16 -61
36 -8 -16 -59 Chart Title
38 -8 -16 -57 40
40 -8 -16 -55 20
42 -8 -16 -53 0
44 -8 -16 -51 0 20 40 60 80
-20
46 -8 -16 -49
-40
48 -8 -16 -47
-60
50 -8 -16 -45
52 -8 -16 -43 -80

54 -8 -16 -41 -100

56 -8 -16 -39 -120
58 -8 -16 -37
two call one sh
60 -8 -16 -35
62 -8 -16 -33
64 -8 -16 -31
66 -8 -16 -29
68 -8 -16 -27
70 -8 -16 -25
72 -8 -16 -23
74 -8 -16 -21
Chart Title
40
20
0
 76 -8 -16 -19
Chart Title
78 -8 -16 -17 40
80 -8 -16 -15 20
82 -8 -16 -13 0
0 20 40 60 80
84 -8 -16 -11 -20
86 -8 -16 -9 -40
88 -8 -16 -7
-60
90 -8 -16 -5
-80
92 -6 -14 -3
-100
94 -4 -12 -1
96 -2 -10 1 -120

98 0 -8 3 one call two call one

100 2 -6 5
102 4 -4 7
104 6 -2 9
106 8 0 11
108 10 2 13
110 12 4 15
112 14 6 17
114 16 8 19
116 18 10 21
118 20 12 23
120 22 14 25
 Chart Title

0 60 80 100 120 140

one call one share

Chart Title

40 60 80 100 120 140

two call one share

Chart Title
 Chart Title

40 60 80 100 120 140

one call two call one share

maturity 0.5
X(ex price) 80
S(stock price) 85
C(call price) 12
P(put price) 5
int rate 10%

Co+Xe-rT 88.0983539601
Po+So 90

Cash Flow
buy call -12
buy a bond
with payoff X
at time T -76.09835396
write a put 5
short one
share of the
stock 85
total 1.90164603994
ex price, X1= 6 long 1
ex price, X2= 4 short 2
ex price, X3= 1 long 1

St X Y Z Arbitrage
0 34 46 59 1
5 29 41 54 1
10 24 36 49 1
15 19 31 44 1
20 14 26 39 1
25 9 21 34 1
30 4 16 29 1
35 -1 11 24 1
40 -6 6 19 1 Ar
45 -6 1 14 6
12
50 -6 -4 9 11
55 -6 -4 4 6 10
60 -6 -4 -1 1 8
65 -6 -4 -1 1
6
70 -6 -4 -1 1
75 -6 -4 -1 1 4
80 -6 -4 -1 1
2
85 -6 -4 -1 1
90 -6 -4 -1 1 0
0 20 40
95 -6 -4 -1 1
100 -6 -4 -1 1
 Arbitrage

0 20 40 60 80 100 120

Arbitrage
Call Price
40 16.5 buy one call
50 9.5 write 2 calls
60 4.5 buy one call
70 2 write 2 calls

Current price, 50 St W, x=50 W,x=70

maturity, T 0.5 50 19 4
0 19 4
5 19 4
X1 90 10 19 4
price of call1 30 15 19 4
X2 100 20 19 4
price of call 2 20 25 19 4
30 19 4
35 19 4
profit from wr 19 40 19 4
Profit from p -6.5 45 19 4
profit from wr 4 50 19 4
Profit from p -4.5 55 9 4
bull spread pr 12 60 -1 4
65 -11 4
70 -21 4
75 -31 -6
80 -41 -16
85 -51 -26
90 -61 -36
95 -71 -46
100 -81 -56
105 -91 -66
110 -101 -76
115 -111 -86
120 -121 -96
B, x=40 B, x=60 bull spread
-6.5 -4.5
-16.5 -4.5 2
-16.5 -4.5 2 bull spread
-16.5 -4.5 2 20
-16.5 -4.5 2
0
-16.5 -4.5 2 0 20 40 60 80 100 120
-16.5 -4.5 2 -20

-16.5 -4.5 2 -40

-16.5 -4.5 2 -60
-16.5 -4.5 2
-80
-11.5 -4.5 7
-6.5 -4.5 12 -100
-1.5 -4.5 7 -120
3.5 -4.5 2
bull spread
8.5 0.5 2
13.5 5.5 2
18.5 10.5 -8
23.5 15.5 -18
28.5 20.5 -28
33.5 25.5 -38
38.5 30.5 -48
43.5 35.5 -58
48.5 40.5 -68
53.5 45.5 -78
58.5 50.5 -88
63.5 55.5 -98
read

80 100 120 140

spread
N exercise priceB/W price per Call Option
1 20 1 w 45
2 30 2 b 33
3 40 1 w 22
4 50 1 b 18
5 60 2 w 17
6 70 1 b 16

St 1 2 3 4 5 6
0 -45 66 22 18 -34 16
5 -45 66 -22 18 -34 16
10 -45 66 -22 18 -34 16
15 -45 66 -22 18 -34 16
20 -45 66 -22 18 -34 16
25 -40 66 -22 18 -34 16
30 -35 66 -22 18 -34 16
35 -30 56 -22 18 -34 16
40 -25 46 -22 18 -34 16
45 -20 36 -17 18 -34 16
50 -15 26 -12 18 -34 16
55 -10 16 -7 13 -34 16
60 -5 6 -2 8 -34 16
65 0 -4 3 3 -24 16
70 5 -14 8 -2 -14 16
75 10 -24 13 -7 -4 11
80 15 -34 18 -12 6 6
85 20 -44 23 -17 16 1
90 25 -54 28 -22 26 -4
95 30 -64 33 -27 36 -9
100 35 -74 38 -32 46 -14
105 40 -84 43 -37 56 -19
110 45 -94 48 -42 66 -24
115 50 -104 53 -47 76 -29
120 55 -114 58 -52 86 -34
125 60 -124 63 -57 96 -39
130 65 -134 68 -62 106 -44
135 70 -144 73 -67 116 -49
140 75 -154 78 -72 126 -54
145 80 -164 83 -77 136 -59
150 85 -174 88 -82 146 -64
Arbitrage
43
-1
-1
-1
-1
4
9
4 Arbitrage
-1 50
-1
40
-1
-6 30
-11
20
-6
-1 10
-1
0
-1 0 5 10 15 20 25
-1 -10
-1 -20
-1
-1
-1
-1
-1
-1
-1
-1
-1
-1
-1
-1
25
St 38.5
T 1
X 40
Trading call 3
r 4.50%
P 2.739899273

p=4 p=2
Sell put 4 Buy put -2
Sell share 38.5 buy share -38.5
Buy call -3 sell call 3
investing -38.2398993 borrow 38.23989927
1.260100727 0.739899273