ACT370 - PROBLEM SET 1
1. A stock that pays no dividends is currently priced at W! 100. The delivery price for a oneyear forward contract on the stock is J!" 105. Find the payoff and the profit at time 1 for the
following scenarios:
(a) long position on t
University of Toronto - ACT370: Midterm 1
Name:
Student Number:
1. You are given the following for European options expiring in three months with strike price 50:
The options are modeled with a one-period binomial tree
For a call option, the replicating
Chapter 3
Insurance, Collars, and Other Strategies
Question 3.1. This question is a direct application of the Put-Call-Parity (equation (3.1) of the textbook. Mimicking Table 3.1., we have: S&R Index 900.00 950.00 1000.00 1050.00 1100.00 1150.00 1200.00 S
Chapter 13
Market-Making and Delta-Hedging
Question 13.1. The delta of the option is .2815. To delta hedge writing 100 options we must purchase 28.15 shares for a delta hedge. The total value of this position is 1028.9 which is the amount we will initiall
ACT370H1S - TEST 1 - FEBRUARY 6, 2008 Write name and student number on each page. Write your solution for each question in the space provided. Do all calculations to at least 6 significant figures. The only aid allowed is a calculator.
1. On January 1, 20
ACT370H1S - TEST 2 - MARCH 19, 2008 Write name and student number on each page. Write your solution for each question in the space provided. Do all calculations to at least 6 significant figures. The only aid allowed is a calculator. 1. You are given the
ACT370 - Final Exam, 2008
Questions 1 and 2 relate to the following information. An "exchange call option" gives the owner of the option the right to give up one share of Stock A in exchange for receiving one share of Stock B. Stock A currently has a pric
Chapter 5
Financial Forwards and Futures
Question 5.1. Four different ways to sell a share of stock that has a price S(0) at time 0. Description Outright Sale Security Sale and Loan Sale Short Prepaid Forward Contract Short Forward Contract Question 5.2.
SECTION 19 - OPTION STRATEGIES (2)
SECTION 19 - OPTION STRATEGIES (2)
Sections 3.3-3.5 and Chapter 4 of "Derivatives Markets" In this section we will continue to use the XYZ stock and options listed in Example 78 in Section 18 along with the annual effect
MATHS
21A 2013
This standard multivariable
calculus course extends single
variable calculus to higher
dimensions. It provides a
vocabulary for understanding
fundamental processes of nature
like weather, planetary motion,
waves, diffusion, nance, or
quantu
Question 1 (10 pts)
You are given:
The stock price is 40
The risk-free rate is 4%
A 3-month European call option on the stock with strike 40 costs 4.10
A 3-month European put option on the stock with strike 40 costs 3.91
(a) Assume that the stock pays
Name:
ACT370: Term Test 1
Question 1
Question 1
The current exchange rate between USD and CAD is 1.20CAD/USD. The continuously compounded risk-free
rate for USD is 1%, and the risk-free rate for CAD is 2%.
(a) Find the forward price of a contract to purch
ACT 370H1S W2015, Financial Principles for Actuarial Science II
(Jan 5, 2015 version )
Lecture Section
Lecture times
Instructor
Office hours Jan -Mar 2013
TA
Iain Page
Qin, Zhen
TA office hours (for all students)
in SS1091 Stat Aid Centre
L0101/A&S and L2
Family name, comma, personal names:_
Your student ID:_
Your signature: _
UNIVERSITY OF TORONTO
ACT370
SAMPLE TERM TEST 1
Duration 50 Minutes
Aids: All non-programmable calculators allowed. Scrap paper OK if needed.
Instructor: Keith Sharp PhD FSA FCIA CFA
Name:
ACT370: Sample Q 2
Question 1 (15 pts)
Question 1 (15 pts)
For a European call option on a stock following the Black-Scholes framework, you are given:
The current price of the stock is 40
The strike price is 50
The risk-free rate is 0.07
The vol
Name:
ACT370: Term Test 1
Question 1
Question 1
The current exchange rate between USD and CAD is 1.20CAD/USD. The continuously compounded risk-free
rate for USD is 1%, and the risk-free rate for CAD is 2%.
(a) Find the forward price of a contract to purch
Name:
ACT370: Quiz 7
Question 1
You are an investor who wishes to buy two put options on a non-dividend paying stock, each with a maturity
of 3 months from the date that they are purchased. You wish to buy the first one today, and the second one
3 months
Name:
ACT370: Quiz 5
Question 1
For a non-dividend paying stock, you are given
The stocks price is 50
The continuously compounded risk-free rate is 0.05
The volatility is 0.3
The strike price is 55
The stock pays a discrete dividend of $5 after 1.5 y
Name:
ACT370: Quiz 2
Question 1
Assume that you are given an American call option on a stock. The current price of the stock is S and pays
dividends continuously at a rate of . The strike price of the call option is K, the maturity of the call option
is T
Name:
ACT370: Quiz 1
Question 1
(a) Define a forward contract
(b) Write down two differences between forward contracts and futures contracts
Question 2
The stock of company X is currently worth $100 a share. A 3-month European call option on the stock
wit
Name:
ACT370: Quiz 6
Question 1
For two stocks St , Qt , you are given the following information.
The initial prices are respectively S0 , Q0
The correlation between ln(St ), ln(Qt ) is
The stocks pay dividends of S , Q respectively
The volatilities
Name:
ACT370: Quiz 3
Question 1
Given a stock modeled with a single period binomial tree, and an option that you need to price, give 1
advantage that risk-neutral probabilities have over replicating portfolios, and 1 advantage that replicating
portfolios
2017 ACTSCI CLUB
ELECTION
Please fill out this application form and send it, as well as one photo of you, to our email
address [email protected] before March 5th.
Thank you for your interest.
FULL NAME
EMAIL ADDRESS
POSITION
President
Vice President
Mar
University of Toronto - ACT370: Midterm 1
Name:
Student Number:
1. You are given the following for European options expiring in three months with strike price 50:
The options are modeled with a one-period binomial tree
For a call option, the replicating