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Involving Options
Chapter 11
1 C. Hull 2013
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John
Strategies to be Considered
Bond
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John3C. Hull
2013
depends on
Level of dividends
Level of interest rates
Volatility of the portfolio
Variations
on standard product
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John4C. Hull
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Profit
K
K
ST
(a)
ST
(b
Profit )
Profit
K
ST
(c
(d
Fundamentals of Futures and )Options Markets, 8th Ed, Ch 11, Copyright ) John5C. Hull
2013
ST
Profit
ST
K1
K2
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John6C. Hull
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Profit
K1
K2
ST
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John7C. Hull
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Profit
K1
K2
ST
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John8C. Hull
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Profit
K1
K2
ST
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John9C. Hull
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Box Spread
A
Profit
K1
K2
K3
ST
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John11
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Profit
K1
K2
K3
ST
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John12
C. Hull
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Profit
ST
K
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Profit
ST
K
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A Straddle Combination
Figure 11.10, page 266
Profit
ST
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John15
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Profit
Profit
K
Strip
ST
K
Strap
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John16
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ST
A Strangle Combination
Figure 11.12, page 268
Profit
K1
K2
ST
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John17
C. Hull
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