Unformatted text preview: 5, the stock pays a W
1.0% continuous dividend and the option expires in 80 days? A) .790 0
B) .820 0
C) .850 0
D) .880 0
Answer: A
6) hat is the delta on a $25 strike put? Assume S = $24.00, σ = 0.35, r = 0.06, the stock pays a W
2.0% continuous dividend and the option expires in 40 days? A) .582 0
B) .602 0
C) .662 0
D) .702 0
Answer: B
1 7) ssume that a $50 strike call has a 3.0% continuous dividend, σ = 0.27, r = 0.06 and 60 days A
from expiration. What is the gamma for a stock price movement from $48.00 to $49.00? A) .046 0
B) .074 0
C) .089 0
D) .099 0
Answer: B
8) ssume that a $55 strike call has a 1.5% continuous dividend, r = 0.05 and the stock price is A
$50.00. If the option has 45 days until expiration, what is the vega given a shift in volatility from 33.0% to 34.0%? A) .20 0
B) .15 0
C) .10 0
D) .05 0
Answer: D
9) uppose the spot exchange rate is $1.43 per British pound and the strike on a dollar S
denominated pound call is $1.30. Assume r = 0.045, rf = 0.06, σ = 0.15 a...
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 Fall '13
 Interest Rates, McDonald, $50, 1 %, continuous dividend

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