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1、CHATER11.(a)ayo diagramatexpiration:20shortstockshortcallcombinedposition1510shortstock5writtencall0shortstock+shortcall?5?10?15?2002468101214161820FGURE0.1ayo diagramforbothashortsaleofstockandanat-the-moneycall.iayo diagramatexpiration:3.5longputlongcallput+call32
2、.521.510.5012345678910FGURE0.2ayo diagramforalongputwithstrikeandalongcallwithstrike,<.1212ayo diagramatexpiration:6longput+shortcallshortput+longcallcombinedposition42KK120?2?4?6024681012FGURE0.3ayo diagramfora(longput/shortcall)combinationatplusa(longcall/sho
3、rtput)combinationat>.121ii(b)ayo diagrambeforeexpiration:10shortstockshortcallshortstockcombinedposition50?5writtencall?10shortstock+shortcall?15?20?2502468101214161820FGURE0.4re-maturitypayo diagramforbothashortsaleofstockandanat-the-moneycall.ayo diagrambeforeexp
4、iration:4longputlongcallput+call3.532.521.510.50012345678910FGURE0.5re-maturitypayo diagramforalongputwithstrikeandalongcallwithstrike,<.1212iiiayo diagrambeforeexpiration:6longput+shortcallshortput+longcallcombinedposition420?2?4?6012345678910FGURE0.6re-maturit
5、ypayo diagramfora(longput/shortcall)combinationatplusa(longcall/shortput)combination1at>.212.(a)etdenotethenotionalamountoftheswapandandtheUSDiborrateat12months1218and18monthsrespectively.Thecash
owsaregivenby12months18months24months
