Derivados US Problemas 04

1) P11 = 2 54 2) Theta
.
=
0 4860
.
=
32 18 .
Nva prima = 19 .
91061
Sub 1 = 26 360
Ease =

SVb 2 = 28
DIAS = 1
Prima = 20

3) Sub1 = 15 50 . Deltha = 0 17394) srb1 = $56 7

.
.

Sub 2 = 17 80 .
Sub2 = $70 8 .

PR1 = 1 30 .
Del +a = 0 3960 .

PR2= 1 70
$4 57
.

Prim 1 = .

valor prim Act = $10 1536

.

5) delta = 0 22 . 6) Prima 1 = $76

gama = 0 035 0 .
primaz = $75 9408 .

Sub 1 = 32
ActivO sub =
930
Sub 2 : 38
NDEL = 0 43 .
trota =
21 . 3060
1 did

8) Prin = S 45 .

7) Del + a = 0 42 .

0 018
Rho = 3 15 .

gamma = .

TNVA = 3
subyacente $10
=
v .

nuevovalor =
$49 TANT = 4
nueva delta 0
= .
4920 000 Priz =
4 6625 .

9) v011 = 40 10) Preg =

R = S 20 .

volz = 44 Prim = 3 80 .

Prima = 7 67 . vol 2 = 22
= 4 8 vol1 = 18
Vega .

vega =. 35
P .
Vega = 26 . 87

0 266667 12) Prim 4 12

Del +a
.

1) = .

Sub = 236 40
Pri1 = 2 8
.

+ neta = 18
5020
. O
.

Priz = 3
Sub 1 = 20 45 .
= H . 017211
Sub2 = 21 2 .

13) Prima = 2 04SH .

gamma
= 0 0832 14 Rho = 0 0446 IS PTheta = $29 818
.
.
.
.

Delta =
0 3397 Prima $10 00 Trea = -12 24
.
=
.
.

Tasa in+= 10 %
N . Delta = 0 . 318020 Base =
360
nva 7 5%
+ asa =
Prima = $29 75
.

$9 9876
.

nva prima
=
.

Dias = 2