Question 1

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?

Accepted Answer

A)  0.790 
B)  0.820 
C)  0.850 
D)  0.880 
A)  0.790 
B)  0.820 
C)  0.850 
D)  0.880

Question 2

Suppose the 180-day futures price on crude oil is $110.00 per barrel 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?

Accepted Answer

A)  $1.89 
B)  $2.19 
C)  $2.59 
D)  $3.09 
A)  $1.89 
B)  $2.19 
C)  $2.59 
D)  $3.09

Question 3

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?

Accepted Answer

A)  $0.66 
B)  $0.55 
C)  $0.44 
D)  $0.33 
A)  $0.66 
B)  $0.55 
C)  $0.44 
D)  $0.33

Question 4

Suppose the spot exchange rate is $1.22 per British pound and the strike on a dollar denominated pound put is $1.20.Assume r = 0.04,rf = 0.05,σ = 0.20 and the option expires in 270 days.What is the put option price?

Accepted Answer

A)  $0.075 
B)  $0.085 
C)  $0.095 
D)  $0.105 
A)  $0.075 
B)  $0.085 
C)  $0.095 
D)  $0.105

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?

Suppose the 180-day futures price on crude oil is $110.00 per barrel 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?

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 $1.22 per British pound and the strike on a dollar denominated pound put is $1.20.Assume r = 0.04,rf = 0.05,σ = 0.20 and the option expires in 270 days.What is the put option price?

Introduction to Derivatives

An Introduction to Forwards and Options

Insurance, collars, and Other Strategies

Introduction to Risk Management

Financial Forwards and Futures

Commodity Forwards and Futures

Interest Rate Forwards and Futures

Swaps

Parity and Other Option Relationships

Binomial Option Pricing: Basic Concepts

Binomial Option Pricing: Selected Topics

Market-Making and Delta-Hedging

Exotic Options: I

Financial Engineering and Security Design

Corporate Applications

Real Options

The Lognormal Distribution

Monte Carlo Valuation

Brownian Motion and Itos Lemma

The Black-Scholes-Merton Equation

Risk-Neutral and Martingale Pricing

Exotic Options: 2

Volatility

Interest Rate and Bond Derivatives

Value at Risk

Credit Risk

Filters

Exam 12: The Black-Scholes Formula

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?

Suppose the 180-day futures price on crude oil is $110.00 per barrel 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?

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 $1.22 per British pound and the strike on a dollar denominated pound put is $1.20.Assume r = 0.04,rf = 0.05,σ = 0.20 and the option expires in 270 days.What is the put option price?

Introduction to Derivatives

An Introduction to Forwards and Options

Insurance, collars, and Other Strategies

Introduction to Risk Management

Financial Forwards and Futures

Commodity Forwards and Futures

Interest Rate Forwards and Futures

Swaps

Parity and Other Option Relationships

Binomial Option Pricing: Basic Concepts

Binomial Option Pricing: Selected Topics

Market-Making and Delta-Hedging

Exotic Options: I

Financial Engineering and Security Design

Corporate Applications

Real Options

The Lognormal Distribution

Monte Carlo Valuation

Brownian Motion and Itos Lemma

The Black-Scholes-Merton Equation

Risk-Neutral and Martingale Pricing

Exotic Options: 2

Volatility

Interest Rate and Bond Derivatives

Value at Risk

Credit Risk

Filters