SOA Options blank set

SOA Options blank set - fll' 21. The atuck price of m...

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Unformatted text preview: fll' 21. The atuck price of m experiences-the fiallowing fluctuatinns over the year: The bmkerage commission is {1.4% {If the bid. a: :12}: price. Dan buys 100 shares ufm on April 1 23111 22112 all uEhia sham on October 1. Détermine Dan’s gain 2.2 of Dumber 1: (A) 222.22 (B) 222.52 {C} 252.52 (B) 365.35 (E) 405.51 3"“! Exam m: Ptacfiue Exam 2 ('0 .. 9. 011 J ED11an 1,-2DDT, Giudjr eeld ate-til: Z ahert fer $113!} with a margin requirement CH? 311%. On December 31, 200?, the ateek paid a dividend at $3, and an intereet amount of $5 WEB credited to the margin aeeeunt. 011 January 1, EDGE, Bind; covered the short eale at a price of $95, earning a return at” 9.3%. Calculate M. {A} 25% {B} 33% {C} 50% (D) Em (E) T596 Exam FMI'Z: Preefiee Exam 2 /""'~. . 16. n a Steve and Laura each sell a diEEerent atank short at the beginning of the year acmrding to the fnflewing table of mfermatian. _ Buy back price —- m TE 5% E56 The margin interest rate is an annual afl'ectiva rate. Eat]: 51th page its dividend a]: the end of the year. Immediately thereafter, Steve and Laura each 12.1.11;r back their stock a the price indicated in the table. . Steve'a annual efieetive yield an the 511011: aala excels-t1};r matches Iaura‘a annual efl'eetive yield an the ahnrl: Hale. Calculate X. {A} 525 (B) 550 {D} 5'15 (D) 5011' {E} 625 Exam M2: Practice Exam 1 (a) .13- @ 3. Glen sells lflfl shares of a steel: short. The stock’s current 'per share price is $‘l’5. After one year, the stack pays a dividend of $1.51] per share. Immediately after the dividend is paid, she huys the stock hack for $11 per share. ' ' Short sellers are required to deposit M915 Bf the initial value of the shares that are said shert in a margin amuat at the time of the short sale. ' The prev-ailing interest rate is an annual effedtive rate of 5%. Glen earns a 10.0% yield an the treneaéfion. Calculate M. (A) 25% (B) 33% (C) 50% {D} 57% {E} “16% f'"\ x—\. 19. The futurea price of the 3:92P 500 index is currently $1,500; Yen enter' intc Eu 5:92P EflD futures{minaret-.113.(45L3 M m WM) The initial mmginiaflfl'fifi. Yen earn a eonfinueualy compounded rate cf 4'53 an your margin balance. Your pcaiticn is marked to market W'Efikljr and the maintenance margin ia T593 cf the initial margin amount. ' I DetErmjne the greataat 5:92P EU!) indeI futures price one week from tadayr at which 3-311 will receive a margin call, - - ' (A) 1,433.33 {13) 1,433.23 (0} ' 1,433.33 (D) 1,432.72 (2:) 1,424.11r Exam 33112: Practice Exam 1 4 [av—lux- .— 29. Which of the following beet deecrjhe the maximum gain fer a short cell? (A) UnJimited (13) Forward priee (C) Strike price less filture value ef premiums (D) Flmu-e value of premiums leee strike price (E) Future value of premium Exam FMr'Z; Practice Exam 3 - f . 9-! 23. A certain stack is currently priced at $65. Dividends are paid atthe End of even quarter and the fiifidcnda are level met the next 15 gem. The next fiividand-cf $0.75 will he paid cue quartcr. ' The annual effective interest rate is 1fl%. Determine the price of a ten-year prepaid forward contract. (A) 19.11 (B) 25.31 (C) 32.53 (D) 32.20 J (E) 45.39 Exam FMS: Practice Exam 2 I) You are given the following information about stock KY3: I The current stock prise is $5. I I The eta-oh pare dividends oon1'.inu:'_lhue15_.T at :1 rate of 15' . I The forwerd price for deform-1.T of one share of m stock in nine monthe is $F. I The corresponding forward premium is 1.1]?7334. The oontinuouely oompounded riabfiee intereiat rate is 15%. Determine a . (A) one] (B) nose (0) a nose - (D) noes (E) new Exam Fla-HE: Preotioe Exam 2 IO [D Aardvark Airlines (AA) would like in limit its exposure to fluctuations in the price of jet fiuel. AA expects the market price for a gallon of jet fuelin one year to be between $2.512) and $235. Its expected revenue per gallon of jet fuel is $2.70. AA has decided to hedge this risk by selling a collar using bane put option and one call option. The following table contains the various option prices available in AA: The continuously compounded risk-free interest rate is 5.35%. Based on AA's expectations for the market price of jet fuel in one year, which intervel represents the range of possible profit one year from now on a gallon of jet fuel basis fiar AA? (A) 0.27 to use (B) use to 0.37 (C) as? to {HE (D) (1.42 to an {E} {1.47 an ass Exam FMEEE Practice Exam 1 s K‘F'N -* CH}. You are given the foiloteing information: fd—h‘K The current price to buy one shore of no stock is $12!}. The stock does not pay dividends. A European cell option on one shore of EYE stool: inith s strike price of $125 that expires in oil months is $169. ' A European put option on one share of m stock with a strike prime of $125 that expires in six months is $9.39. The risk-free interest rate, compounded continuously, is r. Caleuhite r. (A) 5.35% (B) 5.4oe-a (C) 5.45% (D) 5.50% {E} 5.65% .._.-.2. Yum are given the fellcwing informeticn: . -- Dne share of the 133:5 index eun'eritl],r sells for $1,512"). I The FEE index dcee not pay dividends. I - The annual eEective riak-Eree rate is E'i-E. You would 111m to lock in the ability to buy this index in one we fnr menu. You create a synthetic forward pDeitiDn cm the index with a Enrupeen put option and a European cal] option with the amne strike price. The price cf the put is $154.45 and the price of the call is $145.D1. Determine the prufit at time one year if the price of the index is $1,551) at that time. (A) 40331 (13) 4121 (0) sum (D) 111.3? m . 16332 . _ \ . .Emmmeemee-Eme1 . _ KO /"‘\ ‘i' 24. The current prioe of ate-ck KY2 i3 $55. Trudy i3 heerieh on the steel: and creates a synthetio short forward position using one 33.11 and one put on the stock, eaeh with a atriite price of $55 and a Biz-month time to expiration. The price of the put option ie $5.53 and the price of the cell nption is $1.95. The annual efieofive riek-free interest rate ie 4%. I Aeeuming the prioe of the 3toek at time 3i: monthe i3 $47.55, determine Trudy‘e profit at that time. (A) 3.43 {B} 3.57 {0) 3.33 (D) 3.73 (E) 3.81 Exam M2: Practice Exam 3 . r3 ' 13. “min-:11 of the following pmducea the name c3511 flours as 5.10115 position on a stock? (A) Short farmrd and short zermcnupnn band (B) Long finrward and short mam-coupon band (C) Short Enrwafi and lung zen-coupon bond {D} Lung forward and long zem-cfiupan band (E) Long forward and lung call A Exam FMS: Pracfiue Exam 1 my #17. Mm Ellen sells 'ene lower-strike sell and buys 2 higlier-strilre cells, with all the options having the same underlying asset and the same time to meter-it; Whieh ef the following graphs depict the pattern 'e-E prefi’cs from this strategy? w wit-as {0% mtg my: ‘ /”_\_ Exsm M1Prsefie'e Exam 3 m 10 .1 30. Which of the following graphs depict the prefit pattern ef a written strangle? I G’s} ‘ {B} l [0) ‘ {D} I {E} l “END {IF MNATIDN“ *' STDP 1* I EIemFMfflzPraefieeExemE . . I - r3 ._. 11‘. Which of the following atatementa about. collate ia FAIEE? (A) A collar ia the purchase of a lower-anike put option and the sale of a higher-strike anl option. (B) The collar width ia the difference between the call and the pat strike prioea. (C) A collared stock entafla buying a collar when the stock ia already owned. (D) A written collar resembles a short forward contract. I (E) For any given et-ocit. there in an infinite number of aaaociated zerotcoat collara. Exam 13W: Practice Exam 2 3 - “ “t. “'13. Which of the following are reaeona why firms might elect ta hedge? (A) Truancfidn {mats (B) Gust-benefit analysis (C) Managerial risk averainn {D} Managerial Bonn-n15 (E) Tax and Emailing complications Exam M2: Fred:qu Exam El - “we/215. dim investm- pmeh'e muddle examining efaEdmpeen eel] optical and e p11; eptien.'wifll_m'ilte. - ' ' priem uffifl and expiration in ti mm; “H I ' . ' . m priee affine eel] uptiun is :4 endthe priee nfthe pm ie ea. The deli—flee Tneu": n. with: mmhmmmimemmammim ddte'riefifi‘? ' {Au—5 ' {En—2' mm. {D}; _ --_tI-e:' l. .Fuemreu, _ . ' " _ . ' -' . _ 321 paying smelt. The sited: is emery mined :1 I!!! and me. eenfinueuely mmpnunded fink-flee hum rah: is 3%. Thedfltailuftheuptinnare: _ - . . Opfim I ' Optien 2 Type ' Pm ' can Seen ' ' _ ' e: _ a: ' _ . . 11m uphhfien tau um . _ um dean . . ' Eeeed 1111 his endlyeie. the immune has decided 11ml: the pn‘em eflhe twp uptiune do not present any erhihage | appmumifia. He decides he buy mu enlls and set] mm mm. Cnleuflete the net ens-t nt‘thie henaaetim. {Hint A positive net east means the immune in'y'e mnney hem the mmdun. A negetiee em: means the hweelm- Ieeeim mulley.) I Mfr. [m 3 Fall 2mm An inumhu' been 'quumd a price on Em uptiune en the meme-dividend ' m (aye—ea (hp—financie—ge (Cjb—Zflandfilfl (madman {Ewan _ 3.33. The eurrml: plied- fifth in .99 per peeled. The SH]ng mam-Id": .12 per peund per yeah; puyahie qqefiefly in 1/ advance. Interest mm are 5% payee: mmpuundea‘i emfinunuely. Cnietdele the durum-d prim effin far deli'eely in nine month: [A195 {B} .9? {C} .99 _ {D} 1.9] (E) . A hand has Mmfleydmflen af'lflJ] and e. convexity elf-199. The yield-m-Imenn'ity {dental efieefiwyield} a": 395.. Using modified duration and enmexity, intimate the paemlege price: ehmge effhe bend Earn 99 in pelnl rise in the yield-maturity. (199-4 CA5. EXAM fl] ' {A} _ 5.99:. {a} — 5.295 {C} {m (n) 52 ea [E] 15391.95 3-H. Whieh- ufthe thfleudng elem-Ilene: ale tree fer an inveehnr Selling a steel: ehmfl L/ I. The shun seller in huiliah an die seine. ' ' IL The ehen‘. Edie file-ere the inveetur to profit the! decline in e. Steers plied. 1]]. The immr- mm pay all of me henseetinn cum hemmed when buying and- sellhlg die smelt. (A) LI! ' (311.111 [€111,111 {D1 finmym (Ewan; FIJ no. wm-nttnftfliwmgmmmimei ' ' . mmmmflmmmnofahflmmmdm . 11'. Fmoamaommhmhdonnohmwi . hr IEAForward-oonaantiathommafhmoooh-m on. {it-Hour. -[B}Irmo_' @111me - [m'rmurom' (momma I" 29. moi- oftha ohm; m o [oi-o) um? I. Ashodaaloiaanoptimi. 11 AFWWEI'anntrantiEanopfir-m 111. A Futures Colin-not is ootan optioo. _ {Mimi}: gammy. mommy IfDJMofM' {EMIoftliom Samplers-r5 3D. The diagramon the right on“: profit diagmn for which of tho Folloun'ng? Llama-lbw JI. Strangle IEStmddle Mimi-y B)]Ionl;.r - cm] only Di'liwuof'lhfim E}Hono offitom 3'43 I I I FM Son-mute Tm j 24. [ms 3] Given the following infioirnafioii: I ' (i) Strike prioa =31: said om mi. print: :29. ' - _._ Dividends oflfiflmuxpoatadtohopaidaflflliflnd-T mum {in} continuously oompaundad riah-fi-oa iota-oat ram is 10% por 1-mi- - {11:} Prior afa-fi-month Europm call with a strike pfioa aim is 2.. Calculate the prim of a put: optimi that expires in 6 months. {A} 4.42 {a} 444 {o} 4.46 {D} 4.43 (E) 4.50 flwafian hr 1'? "Iii. 11!- A shack is expand to pay a. dividend For share in one month and again in four monflio. The 51on prion is 1:10 and the rat: i5 5% compoundod continuously. ' - IT. Chloulatu tho foromrd mice-fur Icloli~|.r1ar:,lr in 6 months. Lat D = pro-Joni 1.railuio'uzuftho dividends. on 1 I4 . {a} 1 :9 (cl 124 (D) 129 . (E) 1-34 ' EH. 'I'hnoa months latar, tho prion of the stock in I [5 and tho risk-lino rat: is still 5% oompoondad continuously. What in the forward prim: oftho sumo moan-[a5 in .thlun ID oow-ddhmhla in 3 months? {A} 1 14 - (B) 119 (C) 124- ' ' to} 129 . ‘ (E) 134 HR .' A lfl-yur 3.0% :aupon bond. with par. Value: of 3] till, is laying oouptma hum-annually in wealth; at a _'a1d-to-mao.u-ity of 7.0%. What- ia tha- omront yioldl . . [A] 1.1% (a) mas {o} 7.35: {o} 14% _ (E) 7.5% 3:1.uwoi.1iiaia1|uwmg:-_ -_ -_ . ._ . (a Stockpioa=5fl - 32-..- {iiJ Thar'okfiootato, r, ia m'mmaalmofflfimmpmmdod (fiI'J-‘l'lupflmofafi-tnonflifitaopun call'opfimwtmmonmoia: pfiooloffi= #fl-‘ia 5. {iv}'l'ho1n'iooofa6-atrmth withmya'ioo ofKB 4E iaJE {it} no mm ion-nit pays no dividonlhi Dan the puo‘oaIlparity rnim'ionalljn to datum-5.1K (2am CA5 it} I (1)1.11 {a} 1.13 _ (£31.15 [911.]? :' ($1.19 215. film tho lbliow'ing: - . _ ‘ “ (i) The rialefi'oo rat: is an annualrato of .“ = 3% compoundodoonfinuoualy. (Elma-monthltttarmpfioaforanaaaatiaflflfl; - - - _ - (iii) Diuidouda on Ina aflat ato paid oanfinuoual'y. at; constant annua.l rain of q #1453. Maria flannnrmtrn'iao offltiommat, winningnoarhin-ageoppm'tlnfity‘? [2am CAR 3‘] [A] not '{a) 39a (in 392 {n} 394 {a} 396- 314 - ' . WW2 T953 21". Giym tho inflow-lag inftnmm'ion about European options on amok ABBA. {i} Strike prion ia 515. [ii] Emmott pnioa ia. l'flfl. {iii} Time to oxpiration la 2 year. {iv} 11'": amok pays no dividmda; [It] Price ofaputia'i'S ' - Calculate the ofthooaii on ABBA with 511113 prim 95 iftito rinks-frat: rate is 5% oomptnmdad oontiuuotmly. ' ' - ' ' (MI-4.19 {a} 14.31 {(2)1433- _ (D) 1.4.35 {a} Nil”. 13. Consider lilo loll-owing inyushnunt arming)": _ Buy a null option Will a attiio: K and morality Tami buy a put optionth mama'in T‘ This 5mg}: is called a . . {A} Shingle {B} Straddla {C} Butterflyr Spread {D} Boar Spread {E} Collar 29. You own one ahani: ofaaaolt and make the followingh'anaalorioaa: _ it; You buy on: put ‘i'i'i'th ao-llua prion argon; which ma also. t.” - -- _ (ii) vim no: one will with a atriltn prion offlilflantaalla turnout If an tho prion fifth: stout ' 45,1nli‘lflli5 your payufl? [anus can a] _ {man - [a]. 39 [C] 4n (9)44 {E} 45 3D. Which oFtlIo Hallowlog'atamonfia} am out: for someone buying a European option on a atoolt'l" I. That: a; an obligation to boy or sol] fita amok at a parliaular prim on a particular onto. IL A fee {premium} is paid at an time the option is bought {or paid}. Ill. Tho option may he onmiaod a'tarq.r tin-la during tho life of tho option. _ {A} Ionly (3)11 onlyr {C} III only {D} Two of thorn {E} All offitotn ...
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This note was uploaded on 03/02/2012 for the course MATH 172 taught by Professor Kong during the Winter '09 term at UCLA.

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SOA Options blank set - fll' 21. The atuck price of m...

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