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chap11

075 b 0085 c 0095 d 0105 answer a 11 upposethe180

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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...
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