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Business, 22.04.2020 04:53 jordandabrat

A collar is established by buying a share of stock for $50, buying a 6-month put option with exercise price $43, and writing a 6-month call option with exercise price $57. On the basis of the volatility of the stock, you calculate that for a strike price of $43 and expiration of 6 months, N(d1) = 0.8235, whereas for the exercise price of $57, N(d1) = 0.7411. a. What will be the gain or loss on the collar if the stock price increases by $1?

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A collar is established by buying a share of stock for $50, buying a 6-month put option with exercis...
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