Tietokoneharjoitus 2

Tehtävä 5a

http://www1.deutsche-boerse.com/parkett/parkett2.jpg

http://www.eurexchange.com/exchange-en/products/idx/dax/17206/

Expiry = 19.12

St<-9252
Kt<-9263.5
dt<-(26+19)/365

1/dt*log(Kt/St)

[1] 0.01007564

Tehtävä 5b

http://www1.deutsche-boerse.com/parkett/parkett2.jpg

http://www.eurexchange.com/exchange-en/products/idx/dax/17252/

St<-9259.5

# Joulukuu

dt<-(26+19)/365
K<-9300
Ct<-195.00
Pt<-253.30
1/dt*log(K/(St+Pt-Ct))

# [1] -0.01550965

dt<-(26+19)/365
K<-9000
Ct<-412.00
Pt<-138.00
1/dt*log(K/(St+Pt-Ct))

# [1] 0.01307844