Unformatted text preview: ice is A
$61.00. What is the theta of the option as the expiration time declines from60 to 50 days? A) 0.52 B) 0.42 C) 0.32 D) 0.22 Answer: C
14) ssume that a $75 strike call has a 1.0% continuous dividend, 90 days until expiration and A
stock price of $72.00. What is the rho of the option as the interest rate changes from 6.0% to 5.0%? A) .07 0
B) .12 0
C) .16 0
D) .20 0
Answer: A
15) uppose a $60 strike call has 45 days until expiration and pays a 1.5% continuous dividend. S
Assume S = $58.50, σ = 0.25, and r = 0.06. What is the option elasticity given an immediate price increase of $1.50? A) 4.61 2
B) 8.61 1
C) 4.61 1
D) .61 9
Answer: B
16) ssume that an investor is currently holding a reverse straddle position (i.e. a short put and A
short call), which is currently a profitable investment. All else being equal, what would this investor like to happen to vega? A) ecrease D
B) ncrease I
C) tay constant S
D) ndifferent I
Answer: A
17) f an investor is speculating with a long call position,...
View
Full Document
 Fall '13
 Interest Rates, McDonald, $50, 1 %, continuous dividend

Click to edit the document details