Quiz 6 Options II
1. ABC, Inc. stock is trading for $265 per share. Suppose European-style call and put options
expiring in one year and with strike of $265 are trading at $30 and $32, respectively. The stock
does not pay any dividends. For simplicity ass

Quiz 9 Two-period binomial model
Name
Suppose the current stock price is $100. A put option expires in six months and has a
strike of $100. Volatility of the stock is 25% per annum, the risk-free rate is 1% per
annum with continuous compounding and divide

Suppose the stock price is S = 100, volatility is sigma = 0.2, and for simplicity assume both the risk free
rate and dividend yield are equalto zero.
1) What are European call and put prices
with
1 year
to expiration and strike price of 100?
=o ? S=k,(^@_

Solutions for Quiz 8
Suppose the current stock price is $100. A put option expires in six months and has a
strike of $100. Volatility of the stock is 25% per annum, the risk-free rate is 1% per
annum with continuous compounding and assume no dividends.
a)

Quiz 4 FX Futures
On Jan 23 2015 the February 2015 futures contract on Mexican pesos was priced at 0.06816 USD per
one MXN. December 2016 futures contract was priced at 0.06691 USD per one MXN. Time between Feb
and Dec contract expirations is approximatel

The stock price is assumed to follow a geometric Brownian motion process with volatility of 20% per
annum and expected rate of return of 8% per annum. Assume the stock does not pay dividends. The
current stock price is S = 100. The interest rate is 3% per

Quiz 3 FX and Interest Rate Forward Contracts
1. Suppose 2-year interest rates in the US and the UK are 2% per annum and 3% per annum,
respectively, expressed with annual compounding. The spot exchange rate is USD 1.60 per one GBP.
What is the two-year fo

Quiz 5 Options I
ABC, Inc. stock is trading for $265 per share. Suppose European-style call and put options expiring in
one year and with strike of $265 are trading at $35 and $31, respectively. The stock does not pay any
dividends. For simplicity assume

Quiz 1. Short Sale.
Name:
ABC, Inc. currently trades at $40 per share. You have $25,000 in your account. You sold short 1,000
shares. When will you get a margin call? Assume 25% maintenance margin requirement.
Your initial equity is $25,000. The value of

Quiz 2. Forwards
1. Assume the asset will not pay any income over the next two years, and the term structure of interest
rates is flat (the interest rate is the same for all maturities). The one-year forward price is F(0,1)=$90.
The two-year forward price

per
The stock price is assumed to follow a geometric Brownian motion process with volatility of 20%
annum and expected rate of return of 8% per annum. Assume the stock does not pay dividends. The
current stock price is S =
1"00.
year?
1) What are the mean