FBE459_Spring11_Midterm

FBE459_Spring11_Midterm - FBE459: Financial Derivatives...

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Q.1. Q.2. Q.3. Q.4. Q.5. Total FBE459: Financial Derivatives Spring 2011 Midterm Exam INSTRUCTIONS You have one hour and forty-five minutes to complete this exam. This exam is closed book and closed notes, except for one sheet of 8.5x11 handwritten notes (both sides). Calculators are allowed. There are 5 questions for a total of 100 points Questions are not arranged in the order of difficulty. IMPORTANT : Do not indicate your name on any page except on this cover page. All work must be shown for credit to be given Please write your answers on the “blank spaces” given. This exam is taken under the Student Conduct Code, which stipulates: Any use of external assistance during an examination shall be considered academically dishonest unless expressly permitted by the instructor. The following are considered unacceptable examination behaviors: communicating with fellow students during an exam, copying material from another student’s exam, allowing another student to copy from an exam, possession or use of unauthorized notes, calculator, or other materials during exams and/or any behavior that defeats the intent of an exam or other classwork. Please sign your name below to acknowledge and accept the Student Conduct Code. S I G N A T U R E : ( P l e a s e s i g n ) N A M E : ( P l e a s e p r i n t ) S T U D E N T I D ( o r S S N ) :
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FBE 459 Midterm Exam: Spring 2011 Page 2 1. (20 points) A stock is expected to pay a dividend of $1 per share in 2 months and $1 in 5 months. The stock price is $100, and the risk-free rate of interest is 6% per annum with continuous compounding . 1.a. (5 points) What should be the forward price for a contract deliverable in 6 months? Do
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This note was uploaded on 04/20/2011 for the course FBE 459 taught by Professor Matos during the Spring '08 term at USC.

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FBE459_Spring11_Midterm - FBE459: Financial Derivatives...

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