075 b 0085 c 0095 d 0105 answer a 11 upposethe180

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: nd the option expires in 180 days. What is the call option price? A) 0.133 $ B) 0.143 $ C) 0.153 $ D) 0.163 $ Answer: A 10) uppose the spot exchange rate is $1.22 per British pound and the strike on a dollar S 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? A) 0.075 $ B) 0.085 $ C) 0.095 $ D) 0.105 $ Answer: A 11) uppose the 180-day futures price on gold is $110.00 per ounce and the volatility is 20.0%. S Assume interest rates are 3.5%. What is the price of a $120 strike call futures option that expires in 180 days? A) 1.89 $ B) 2.19 $ C) 2.59 $ D) 3.09 $ Answer: C 12) uppose the 120-day futures price on gold is $115.00 per ounce and the volatility is 20.0%. S Assume interest rates are 3.5%. What is the price of a $110 strike call futures option that expires in 120 days? A) 3.09 $ B) 2.99 $ C) 2.89 $ D) 2.79 $ Answer: B 2 13) ssume that a $60 strike call has a 2.0% continuous dividend, r = 0.05, and the stock pr...
View Full Document

This document was uploaded on 10/30/2013.

Ask a homework question - tutors are online