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Unformatted text preview: rate with the put option with the $1255 price. Note that this does not require a math derivation. 18. A futures option was purchased on 11/15/2011. Would there be a gain or loss on this positon on 11/28/2011? Name: _________________________________ 19. On 12/9/2011, a put option with a 1255 strike price is purchased. Descirbe the payoffs for a 1240, 1255, and 1275 index value? 20. Given that a put option has been purcahses in the past and now the option is in the money. Why would it be better to sell the option rather than exercise the option? Name: _________________________________ Use the information in the following table to answer questions Asset A B Expected return 0.03 0.08 Standard devation 0.05 0.10 Correlation coefficent 0.7 Name: _________________________________ 21. Calculate the mean and standard deviation of a portfolio containing 60% of asset A and 40% of asset B. 22. Draw an EV frontier on the proceeding page, clearly labeling axis. Locate asset A and B in the graph and put the portfolio calculated in...
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 Fall '12
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