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Sample Questions Exam 2
Finance 5108
1. The BlackScholesMerton is based on certain assumptions.
What are those
assumptions?
2. What is the value of a call option on a non dividend paying stock that has a
strike price of $50, the stock is currently trading at $49, has an implied volatility of
25% and a time to expiration of 4 months?
What would be the value of a put
option with the same parameters?
3. What is implied volatility and why is it used in the pricing of option instead on
the volatility calculated using standard statistical techniques?
4. What is the price of a European call Option on a stock that is currently trading
at $200 per share, that has 6 months to expiration, pays a known dividend of $4
in three months if the implied volatility is 15%, the risk free rate is 5% and has a
$195 strike price?
5.
Assuming that the stock index priced at 1230 and it has a continuous dividend
yield of 1.3%.
A 1225 strike price call with 9 months to expiration has a current
price of $12.59 and the current 9 month risk free rate is 3%.
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This note was uploaded on 11/23/2009 for the course FIN 5180 taught by Professor Rader during the Fall '09 term at Temple.
 Fall '09
 Rader
 Finance, Derivatives

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