174 Quiz2

# 174 Quiz2 - Math 114 Quiz{2 4,115 Name 3 ﬁnal L T5"...

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Unformatted text preview: Math 114 Quiz {2} 4,115 Name: 3 ﬁnal? L T5" ‘3’ \. ABC company‘s Stool: currently sells: for sum. The stock pays dividend at a continuous rate Efﬁe Its prices FOUDWIl‘lC standard binomial model. ‘9 f g The IlBl-L Etee unintlmslouslj,r compounded interest rate is 6%, and the volatility,r of 3le: Stock ' I [If pnees ls Elma..." G— The following 1-ye31 Pots on ABC stock are awiluble on the market: ’j. Gnu-m. ﬁl‘E‘E-Hll _ l2. l ': - . L- (1 H... Strike Cos: fl. LL a l j S *" t - ~uﬁi‘l ._ "s, 9?] 3.318 cl 1. eiﬁl‘ In— : 4.5114 m‘ 1’ lb" ’13 i "s. You believe that one of these two Puts is misiprlced. 6'1 '- 4: l "—- ~ {-E 5" Cl 1 7 1} Calculate the cement pn'ees For these two Options. - e e. 0 WE “E at F 9&1 ‘5:er kW 331%.; l’Mi-Wlﬁs .Lyl'ﬁl‘? lit-ll L Cb :P 2) What would you do to create arbiuage pxoﬂts? L“, W ‘lﬁ‘li mam: M Mﬁqﬂ‘mvﬁ‘ 0'1 -= ‘ vi (MW ”577'1.q‘\ _ QathL «\$15:qu {3 W. E W m ummdbwmlleewm ...
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