If you purchase 10 of the put option and 5 of the call, Financial Management

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If you purchase 10 of the put option and 5 of the call

Consider an at-the-money European put option with a strike price of $30 and 6 months until expiration. The underlying stock does not pay dividends and has a historical volatility of 35%. The risk-free rate is 3%.

What is the option’s delta?

What is the value of the option?

If the stock price immediately changed to $24, what would be the estimated price of the option, using the delta approximation?

Now consider the call option with the same information; compute its delta.

If you purchase 10 of the put option and 5 of the call option, what is the delta of the resulting portfolio?

If the underlying stock in problem has a beta of 1.3, what is the beta of the put option?

(PLEASE NO EXCEL WORK.STEP BY STEP PROCESS WITH FORMULA)

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Financial Management: If you purchase 10 of the put option and 5 of the call

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