Pstat 170 Quiz 4 Winter 2016
Instructions: Clearly explain everything you do. The quiz is scored out of 10 points.
Name:
(10) 1. Consider a stock with = 0.32 and todays stock price of S0 = 33. Assume r = 0.06 and that
you sell 100 Calls with strike K = 35

Pstat 170 Winter 2016 Sample Final.
Instructions:
You have 2 hours 45 min to complete this exam.
The exam consists of seven questions for a total of 100 points.
Youre allowed to use a graphing/financial calculator
Read each question statement carefull

Pstat 170 Sample Midterm Solutions Winter 2016
Instructions: Clearly explain everything you do. State the general
formulas you use before plugging in any numbers. Provide all numeric
answers to 3 decimal points. The midterm is scored out of 40 points.
(10

Forward Pricing w/Market Frictions
Recap: Forwards on FX, Forwards with dividends, Forwards
with storage, Forwards with convenience
So far assumed that the transactions are frictionless
which means that buying is the exact opposite of selling
This is u

Ch 3: Option Strategies
Recap of Chapter 2:
We have several building blocks:
Long/Short Stock
Forwards (Long/Short)
Calls (Long/Short)
Puts (Long/Short)
Distinguish between Payoff and Profit
Profit is based on Future Value of premium at maturity T
For a L

Ch 3: Option Strategies
Recap of Chapter 2:
We have several building blocks:
Long/Short Stock
Forwards (Long/Short)
Calls (Long/Short)
Puts (Long/Short)
Distinguish between Payoff and Profit
Profit is based on Future Value of premium at maturity T
For a L

Midterm
Average was 31.5/50 or 63%
StDev was 9.3, highest score 45
19/78 students scored 40 or better
40+: A-range
31+: B-range
Average is expected to be a C+/B- borderline
I urge you to talk with me if you scored below
20.
1
Recap: Binomial Tree Model
S

Recap: Binomial Tree Model
Specify model for evolution of underlying
asset price
Use no-arbitrage to obtain the fair price of a
derivative, such as Call/Put.
Binomial tree model makes price dynamics
analogous to a random walk
Each time step the asset

Lecture 6: More Forwards
Cash-and-carry: a position in forward against an offsetting
position in the underlying stock
Has zero upfront costs at t=0 and zero risk at maturity t=T
No-arbitrage implies that the profit must also be zero.
Long cash-and-carry:

Ch 7: Recap
Cashflows at different dates in the future have different
discount factors
$1 at T is worth P(0,T) at t=0
P(0,T) is the bond price with face value 1
Corresponding effective interest rate is r(0,T)
Borrowing/investing in the future carries

PSTAT 170: Introduction to
Mathematical Finance
ludkovski@pstat.ucsb.edu
Office Hours: Tu/We 9am-10am
All course materials are on Gauchospace
Textbook
South Hall 5520
will cover about half of it
Grading
Quizzes during sections
Homework Assignments (hand

Pstat 170 Sample Midterm Winter 2016
Instructions: Clearly explain everything you do. State the general
formulas you use before plugging in any numbers. Provide all numeric
answers to 3 decimal points. The midterm is scored out of 40 points.
(10) 1. Using

Pstat 170 Spring 2016 Asn 4 Solutions
Problem 1
A European binary (or Digital ) option pays $5 if the stock ends above $56 after 3 months
and nothing otherwise. The following 3-period binomial tree represents the monthly stock
price movements:
71.46
67.42

Pstat 170 Midterm Spring 2016 Solutions
(10) 1. Stock PSTT pays continuous dividends at = 10% annual. Its price today is $70 and
you observe a forward price of F = 74.330 for T = 2. Assuming interest rate of r = 3%
annual, describe an arbitrage strategy t

Ch 3: Option Strategies
Recap of Chapter 2:
We have several building blocks:
Long/Short Stock
Forwards (Long/Short)
Calls (Long/Short)
Puts (Long/Short)
Distinguish between Payoff, Premium and Profit
Profit is based on Future Value of premium at maturity

Pstat 170 Sample Midterm Spring 2016
Instructions: Clearly explain everything you do. State the general
formulas you use before plugging in any numbers. Provide all numeric
answers to 3 decimal points. The midterm is scored out of 40 points.
(10) 1. Using

PSTAT 170 QUIZ 1 — WINTER 2016
Instructions: Clearly explain everything you do. In plots label/quantify all the important
points such as axis labels, zero—intercepts, slopes, “corner” locations, et cetera. The quiz is
scored out of 10 points.
Name

Pstat 170 Spring 2016 Homework 3 Solutions
Problem 1
Consider the following table of Put prices for an asset with S0 = 89 and no dividends:
Strike P remium
100
15
90
8
85
5
a) Using the above information ONLY, find the best no-arbitrage bounds on the Put

TMP X130C - Winter 2016
Entrepreneurial Leadership of Teams and Talent
Mid-term Project
Cindy Mayer, Instructor
Section 1: Develop a job description
Select the dream job you would like to have after graduation. Using the job description template
provided

Pstat 170 Sample Midterm Spring 2016 Solutions
Instructions: Clearly explain everything you do. State the general
formulas you use before plugging in any numbers. Provide all numeric
answers to 3 decimal points. The midterm is scored out of 40 points.
(10

Pstat 170 Spring 2016 Asn 2 Solutions
Problem 4.4. see the description of XYZs business on the bottom of previous page 118.
Solution. The figure below shows the payoffs for the different strategies. We note that the basic
revenue is ST 0.9 and the Call op

Pstat 170 Spring 2016 Asn 1 Solutions.
Problem 3.10. The initial cost for purchasing a 1050-strike S&R Call and selling a 950-strike
S&R Call is - 71.802 + 120.405 = 48.603.
The initial cost for purchasing a 1050-strike S&R Put and selling a 950-strike S&

PSTAT 170: Introduction to
Mathematical Finance
ludkovski@pstat.ucsb.edu South Hall 5520
Office Hours: We/Th 9am-10am
All course materials are on Gauchospace
Textbook
will cover about half of it (1-13, 18-20)
Grading
3 Quizzes during sections
Homewor

Pstat 170 Winter 2016 Quiz 4 Solutions.
Solution. Notice the delta for put is negative, that is because when stock price increase, put
option price decrease. So to compensate the put option price decrease, we need to buy stocks.
Strategy:
Day 0:
Buy 20 pu

Pstat 170 Winter 2016: Extra Review
Problem 1
Consider a Black-Scholes model with r = 6%, = 0.25, S(0) = 50 and = 0. Find the
risk-neutral probability that the stocks log -return will be at least 1% in EACH of the
next 3 weeks.
1
2 1
(0.06 0.252 ) 1 +0.2

Pstat 170 Quiz 2 Winter 2016
Instructions: Clearly explain everything you do. In plots label/quantify all the important
points such as axis labels, zero-intercepts, slopes, corner locations, et cetera. The quiz is
scored out of 10 points.
Name:
(10) 1. Su

Topics marked with X may appear on assessment item
Lecture # Week
1
1
Date
03/30
Day
Tu
Chapter
1,8
Topic
Forward contract
Payoff diagram, profit diagram; for forwards and put option
Strike price, expiration date, premium (option price)
Long and short pos

Chapter 9
Properties of Stock Options
SOLUTIONS TO QUESTIONS AND PROBLEMS
Problem 9.1.
The six factors affecting stock option prices are the stock price, strike price, riskfree interest
rate, volatility, time to maturity. and dividends.
Problem 9.2.
The l

f-Chapter 1
Introduction
.\,
SOLUTIONS to QUESTIONS AND PROBLEMS
5_ Problem 1.1.
When a trader enters into a long forward contract. she is agreeing to buy the underlying asset
.- for a certain price at a certain time in the future. When a trader enters in

PSTAT 170
Prof Tashman
Name
Spring 2010
QUIZ TWO
la) Consider a European put option with strike price 105 and time-to-expiry 2 months. The current underlying stock
price is 100 and the risk-free rate is 5%. When the stock rises, the growth rate is u = 1.3

Name >0 LUTlOMS PSTAT 170
Spring 2010 Prof Tashman
QUIZ THREE
Clearly show all reasoning and calculations. Questions 13 are multiple choice.
1. Which quantity does not appear in the BlackScholes-Merton (BSM) pde? (2 pts)
a) volatility b) risk-free rate