Tutorial #11
- Greeks III
- Volatility Smiles
(Chapter 17, 19 of Hulls Textbook, 8th. edition)
Problem 1.
A financial institution has just sold 10,000 European call options on NAB stock. Each option
i
FNCE30007 PRACTICE QUESTIONS FINAL EXAM
QUESTION 1
Consider a European call option on a non-dividend paying stock with a strike of $50 and an
expiration date in two years. The stock price is $52 and t
FNCE 30007 DERIVATIVE SECURITIES
Tutorial Questions
Futures
Question 1
The part with a short position in a futures contract sometimes has options as to the precise asset that will be
delivered, where
Derivatives Securities - Tutorial #4
Pricing Forwards and Futures
Options Markets
(from Chapter 5 and 9 of Hulls Textbook, 8th. edition)
Question 1
A one-year long forward contract on a non-dividend p
Derivatives Securities - Tutorial #1
Introduction to Derivatives, Futures Markets
(from Chapter 1 and 2 of Hulls Textbook, 8th. edition)
1. The seller of (i.e., the short position in) a futures contra
Derivatives Securities - Tutorial #1
Introduction to Derivatives, Futures Markets
(from Chapter 1 and 2 of Hulls Textbook, 8th. edition)
1. The seller of (i.e., the short position in) a futures contra
Derivatives Securities - Tutorial #4
Pricing Forwards and Futures
Options Markets
(from Chapter 5 and 9 of Hulls Textbook, 8th. edition)
Question 1
A one-year long forward contract on a non-dividend p
Derivatives Securities - Tutorial #2
Forwards and Futures and Hedging
(from Chapter 2 and 3 of Hulls Textbook, 8th. edition)
1.
Which of the following statements is not correct (circle one)
a) If ther
Derivatives Securities - Tutorial #7
Early Exercise, Binomial Model
(from Chapter 10 and 12 of Hulls Textbook, 8th. edition)
Question 1
The price of an American call on a non-dividend-paying stock is
Derivatives Securities - Tutorial #3
Hedging with and Pricing Forwards and Futures
(from Chapter 3 and 5 of Hulls Textbook, 8th. edition)
Question 1
Identify which of the following is an arbitrage opp
Derivatives Securities - Tutorial #3
Hedging with and Pricing Forwards and Futures
(from Chapter 3 and 5 of Hulls Textbook, 8th. edition)
Question 1
Identify which of the following is an arbitrage opp
Derivatives Securities - Tutorial #7
Early Exercise, Binomial Model
(from Chapter 10 and 12 of Hulls Textbook, 8th. edition)
Question 1
The price of an American call on a non-dividend-paying stock is
Derivatives Securities - Tutorial #2
Forwards and Futures and Hedging
(from Chapter 2 and 3 of Hulls Textbook, 8th. edition)
1.
Which of the following statements is not correct (circle one)
a) If ther
Derivatives Securities - Tutorial #6
Trading Strategies Involving Options II
(from Chapter 11 of Hulls Textbook, 8th. edition)
Question 1
Three put options on a stock have the same expiration date and
Hull: Options, Futures, and Other Derivatives, Ninth Edition
Chapter 12: Trading Strategies Involving Options
Multiple Choice Test Bank: Questions with Answers
1. Which
A.
B.
C.
D.
of the following cr
Hull: Options, Futures, and Other Derivatives, Ninth Edition
Chapter 13: Binomial Trees
Multiple Choice Test Bank: Questions with Answers
1. The current price of a non-dividend-paying stock is $30. Ov
Hull: Options, Futures, and Other Derivatives, Ninth Edition
Chapter 10: Mechanics of Options Markets
Multiple Choice Test Bank: Questions
1. Which
A.
B.
C.
D.
of the following describes a call option
Derivatives Securities - Tutorial #6
Trading Strategies Involving Options II
(from Chapter 11 of Hulls Textbook, 8th. edition)
Question 1
Three put options on a stock have the same expiration date and
Derivatives Securities - Tutorial #5
Options Markets, Trading Strategies Involving Options
(from Chapter 10 and 11 of Hulls Textbook, 8th. edition)
Question 1
What is the lower bound for the price of
Derivative Securities
The Black-Scholes Model with Dividends
QUESTION 1
Assume the forecast end of month (ex-dividend) stock prices for ABC Limited
for the next 2 years are as follows:
Month
Price $
M
Derivative Securities
The Binomial Model (Part I)
QUESTION 1
Assume you roll a pair of fair dice. Let X be the random variable whose value
represents the sum of numbers rolled. Let Y be the random var
CHAPTER 1
Introduction
Practice Questions
Problem 1.8.
Suppose you own 5,000 shares that are worth $25 each. How can put options be used to
provide you with insurance against a decline in the value of
333-309 Derivative Securities
Semester 1, 2010
Question 1
A put option priced at $4 with a stock price of $30 and an exercise price of $35 allows the holder to
sell the stock at
a.
$26
b.
$35
c.
$39
d
FNCE30007 Derivative Securities
Class 7
DIVIDENDS
Class Outline
The Relevance of Dividends to Option Pricing
Valuing Options on Stocks Which Pay Discrete Dividends
Valuing Options on Stocks Which Pay
FNCE30007 Derivative Securities
Class 10
HEDGING
Class Outline
Cash Settlement
Hedging With Forwards And Futures
Hedging With Options
Another Look At Put-Call Parity
Reference
Hull (9th, 8th, 7th edit
FNCE30007 Derivative Securities
SOLUTIONS TO TUTORIAL 9
Currencies
QUESTION 1
(a)
The spot exchange rate is 0.7000
equivalent spot rate
1
$1. Dividing both sides by 0.7000 gives the
$1.4286
We now ha
FNCE30007 Derivative Securities
SOLUTIONS TO TUTORIAL 8
Forwards & Futures
QUESTION 1
(a)
Here is the timeline
0
Time (years)
0.5
1
(now)
(maturity T)
100
?
Spot Price
Forward Price
?
?
Charlie bu
FNCE30007 Derivative Securities
SOLUTIONS TO TUTORIAL 10
Hedging
QUESTION 1
(a)
The Japanese firm will receive $100,000 in 30 days time and will then want to convert the
dollars into yen (that is, sel
FNCE30007 Derivative Securities
TUTORIAL 10
Hedging
In each question assume the derivative is cash settled at maturity
QUESTION 1
A Japanese firm is due to receive $100,000 from one of its American cu