STAT 473. Practice Problems for Exam 2
Spring 2014
Description:
(A) Exam 2 will cover Chapter 10 (Binomial Model), Sections 12.1-12.5 (Black-Scholes framework and Greeks), Delta-Gamma-Theta Approximation, Section 13.B (Greeks using Binomial Trees), and Se
STAT 473. Actuarial Models II.
Homework assignment 1
Spring 2014
Figueroa-Lpez
o
1. Explain why an at-the-money call option (i.e., a call whose strike coincides with the
current stock price S(0) must always sell for more than the corresponding at-the-mone
STAT 473. Actuarial Models II.
Homework assignment 5
Spring 2014
Figueroa-Lpez
o
1. Future stock prices are modeled with a 2-period binomial tree, each period being 6 months.
Consider an American call option expiring in 6 months on a 1-year futures contra
STAT 473. Homework assignment 6
Spring 2014
1. Renco stock had the following prices at the end of the rst 6 weeks of 2010:
End of Stock Price
Week 0
100
Week 1
105
Week 2
102
Week 3
105
Week 4
98
Week 5
102
Renco does not pay dividends. Based on the previ
STAT 473. Actuarial Models II.
Homework assignment 3
Spring 2014
Figueroa-Lopez
1. You are given:
(i) The price of a stock is 35.
(ii) The stock pays continuous dividends proportional to its price at an annual rate of
0.04.
(iii) The continuously compound
STAT 473
Homework Assignment 4
Spring 2014
Figueroa-Lopez
1. The price of a stock is modeled by a 1-period binomial tree, with the period equal to 1
years. The current price of the stock is 80 and it can go down to 70 with probability p or
up to y with pr
STAT 473.
Homework assignment 7
Spring 2014
Figueroa-Lpez
o
Throughout the problem set, assume that the Black-Scholes framework holds.
1. For a European call option, you are given: S0 = 100, K = 95, r = 8%, = 2%, = 30%,
and T = 1 year (assume that the yea
STAT 473. Practice Problems for Exam 1
Figueroa-Lpez
o
Description:
(A) Exam 1 will cover Chapter 9 from McDonalds textbook.
(B) Solution key is provided at the end of the problem set.
(B) The problems below are intended to serve as preparation or practic
STAT 473.
Practice Problems for Final
Spring 2014
Figueroa-Lpez
o
Description:
(A) The problems below are only intended to serve as preparation or practice for your actual
nal exam. The solution key of the exam is provided at the end of the document.
(B)