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chap11

Assumes2400035r006thestockpaysa w

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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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