Exam 11: The Black-Scholes Formula

Suppose the 180-day futures price on gold is $110.00 per ounce and the volatility is 20.0%. Assume interest rates are 3.5%. What is the price of a $120 strike call futures option that expires in 180 days?

(Multiple Choice)

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Question 21

If an investor is speculating with a long call position, what is the most likely preference of the investor, relative to a change in rho?

(Multiple Choice)

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Question 22

What is the price of a $35 strike call? Assume S = $38.50, σ = 0.25, r = 0.06, the stock pays no dividend and the option expires in 45 days?

(Multiple Choice)

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Question 23

What Greek will a trader be most interest in if she is buying and selling volatility index options?

(Multiple Choice)

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Question 24

What is the difference between implied volatility and historical volatility?

(Essay)

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Question 25

What is the price of a $60 strike put? Assume S = $63.75, σ = 0.20, r = 0.055, the stock pays no dividend and the option expires in 50 days?

(Multiple Choice)

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Question 26

Suppose the spot exchange rate is $1.43 per British pound and the strike on a dollar denominated pound call is $1.30. Assume r = 0.045, r_f= 0.06, σ = 0.15 and the option expires in 180 days. What is the call option price?

(Multiple Choice)

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Question 27

A trader who monitors which Greek is most likely to pay close attention to the actions of the Federal Reserve Board?

(Multiple Choice)

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Question 28

What is the only unobservable variable in the Black Scholes model?

(Multiple Choice)

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Question 29

What is the delta on a $20 strike call? Assume S = $22.00, σ = 0.30, r = 0.05, the stock pays a 1.0% continuous dividend and the option expires in 80 days?

(Multiple Choice)

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Question 30

Draw a payoff diagram for a long put position, depicting options that expire at 0, 30 and 60 days.

(Essay)

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Question 31

Assume that a $50 strike call has a 3.0% continuous dividend, σ = 0.27, r = 0.06 and 60 days from expiration. What is the gamma for a stock price movement from $48.00 to $49.00?

(Multiple Choice)

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Question 32

What is the total dollar cost to create a delta hedge position against a 200 short call position? Assume calls are priced at $4.16, the delta is 0.7644, and stock price is $73.00.

(Multiple Choice)

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Question 33

The Greek that is also called the Hedge Ratio is the .

(Multiple Choice)

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Question 34

Assume S = $33.00, σ = 0.32, r = 0.06, div = 0.01. You short 100 $35 strike calls at 68 days until expiration. Under a delta hedge position, what is your overnight profit/loss if the stock rises to $34.50?

(Multiple Choice)

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Question 35

Showing 21 - 35 of 35

Suppose the 180-day futures price on gold is $110.00 per ounce and the volatility is 20.0%. Assume interest rates are 3.5%. What is the price of a $120 strike call futures option that expires in 180 days?

If an investor is speculating with a long call position, what is the most likely preference of the investor, relative to a change in rho?

What is the price of a $35 strike call? Assume S = $38.50, σ = 0.25, r = 0.06, the stock pays no dividend and the option expires in 45 days?

What Greek will a trader be most interest in if she is buying and selling volatility index options?

What is the difference between implied volatility and historical volatility?

What is the price of a $60 strike put? Assume S = $63.75, σ = 0.20, r = 0.055, the stock pays no dividend and the option expires in 50 days?

Suppose the spot exchange rate is $1.43 per British pound and the strike on a dollar denominated pound call is $1.30. Assume r = 0.045, r_f= 0.06, σ = 0.15 and the option expires in 180 days. What is the call option price?

A trader who monitors which Greek is most likely to pay close attention to the actions of the Federal Reserve Board?

What is the only unobservable variable in the Black Scholes model?

What is the delta on a $20 strike call? Assume S = $22.00, σ = 0.30, r = 0.05, the stock pays a 1.0% continuous dividend and the option expires in 80 days?

Draw a payoff diagram for a long put position, depicting options that expire at 0, 30 and 60 days.

Assume that a $50 strike call has a 3.0% continuous dividend, σ = 0.27, r = 0.06 and 60 days from expiration. What is the gamma for a stock price movement from $48.00 to $49.00?

What is the total dollar cost to create a delta hedge position against a 200 short call position? Assume calls are priced at $4.16, the delta is 0.7644, and stock price is $73.00.

The Greek that is also called the Hedge Ratio is the .

Assume S = $33.00, σ = 0.32, r = 0.06, div = 0.01. You short 100 $35 strike calls at 68 days until expiration. Under a delta hedge position, what is your overnight profit/loss if the stock rises to $34.50?

Introduction to Derivatives

An Introduction to Forwards and Options

Insurance, Collars, and Other Strategies

Introduction to Risk Management

Financial Forwards and Futures

The Wide World of Futures Contracts

Interest Rates Forwards and Futures

Swaps

Parity and Other Option Relationships

Binomial Option Pricing

Financial Engineering and Security Design

Corporate Applications

Real Options

Filters

Exam 11: The Black-Scholes Formula

Suppose the 180-day futures price on gold is $110.00 per ounce and the volatility is 20.0%. Assume interest rates are 3.5%. What is the price of a $120 strike call futures option that expires in 180 days?

If an investor is speculating with a long call position, what is the most likely preference of the investor, relative to a change in rho?

What is the price of a $35 strike call? Assume S = $38.50, σ = 0.25, r = 0.06, the stock pays no dividend and the option expires in 45 days?

What Greek will a trader be most interest in if she is buying and selling volatility index options?

What is the difference between implied volatility and historical volatility?

What is the price of a $60 strike put? Assume S = $63.75, σ = 0.20, r = 0.055, the stock pays no dividend and the option expires in 50 days?

Suppose the spot exchange rate is $1.43 per British pound and the strike on a dollar denominated pound call is $1.30. Assume r = 0.045, rf = 0.06, σ = 0.15 and the option expires in 180 days. What is the call option price?

A trader who monitors which Greek is most likely to pay close attention to the actions of the Federal Reserve Board?

What is the only unobservable variable in the Black Scholes model?

What is the delta on a $20 strike call? Assume S = $22.00, σ = 0.30, r = 0.05, the stock pays a 1.0% continuous dividend and the option expires in 80 days?

Draw a payoff diagram for a long put position, depicting options that expire at 0, 30 and 60 days.

Assume that a $50 strike call has a 3.0% continuous dividend, σ = 0.27, r = 0.06 and 60 days from expiration. What is the gamma for a stock price movement from $48.00 to $49.00?

What is the total dollar cost to create a delta hedge position against a 200 short call position? Assume calls are priced at $4.16, the delta is 0.7644, and stock price is $73.00.

The Greek that is also called the Hedge Ratio is the .

Assume S = $33.00, σ = 0.32, r = 0.06, div = 0.01. You short 100 $35 strike calls at 68 days until expiration. Under a delta hedge position, what is your overnight profit/loss if the stock rises to $34.50?

Introduction to Derivatives

An Introduction to Forwards and Options

Insurance, Collars, and Other Strategies

Introduction to Risk Management

Financial Forwards and Futures

The Wide World of Futures Contracts

Interest Rates Forwards and Futures

Swaps

Parity and Other Option Relationships

Binomial Option Pricing

Financial Engineering and Security Design

Corporate Applications

Real Options

Filters

Suppose the spot exchange rate is $1.43 per British pound and the strike on a dollar denominated pound call is $1.30. Assume r = 0.045, r_f= 0.06, σ = 0.15 and the option expires in 180 days. What is the call option price?