1. A 6-month European put option has values as given in the ollowing 1-period binomial tree: You are given the folowing to deermine the amount of rooney borrowed in the replieating portfalio. bo (a) The continuously compounded risk-free rate is 2%. (b) The strike price is 50, (e) The underlying stock pays no dividends. 2. You sre ziven the following, to determine the lowest pocesible price for this call option. a) The price of a stodk is 15. (b) The stock pays continuous dividends at the snnaal rate of 0.02. (c) The oontinuously compounded risk free interest rate is 0.06 (d) A ope-year American call option oa the stock has a strike price of 10. 3. The current price of a stock is 20. LeC(S, K,T and P(S, K,T) be Earopean calls and puts respectively on the stock with strike prie K nd expiry T. Which of the following statements are true? (a) P(S,25, T) 2 25e 25e- (b) P(S,25, T)-C(S,20,T)2 20eT- 25e-E (e) P(S,25,T)-C(S,20,T) 2 25e-25e 4. A -month Earopean call with strike price 50 is modeled with the following 1-period binomial tree Po You are given the sollowing to determine the price of the stork. (a) The continuously compounded risk-free rate is 4%. (b) The option's premium is 200 (e) The undelying stock pays no dividends. 5. A 3-month Earopean call option on a stock is modeled with a 1-period binomial tree with -1.1, d=0.9. You are given the following to determine the risk-free rate. (a) The stock price Is 30. b) The strike price is 30. (e) The stock pays no dividends. (d) The call premhum is 1.80 1. A 6-month European put option has values as given in the ollowing 1-period binomial tree: You are given the folowing to deermine the amount of rooney borrowed in the replieating portfalio. bo (a) The continuously compounded risk-free rate is 2%. (b) The strike price is 50, (e) The underlying stock pays no dividends. 2. You sre ziven the following, to determine the lowest pocesible price for this call option. a) The price of a stodk is 15. (b) The stock pays continuous dividends at the snnaal rate of 0.02. (c) The oontinuously compounded risk free interest rate is 0.06 (d) A ope-year American call option oa the stock has a strike price of 10. 3. The current price of a stock is 20. LeC(S, K,T and P(S, K,T) be Earopean calls and puts respectively on the stock with strike prie K nd expiry T. Which of the following statements are true? (a) P(S,25, T) 2 25e 25e- (b) P(S,25, T)-C(S,20,T)2 20eT- 25e-E (e) P(S,25,T)-C(S,20,T) 2 25e-25e 4. A -month Earopean call with strike price 50 is modeled with the following 1-period binomial tree Po You are given the sollowing to determine the price of the stork. (a) The continuously compounded risk-free rate is 4%. (b) The option's premium is 200 (e) The undelying stock pays no dividends. 5. A 3-month Earopean call option on a stock is modeled with a 1-period binomial tree with -1.1, d=0.9. You are given the following to determine the risk-free rate. (a) The stock price Is 30. b) The strike price is 30. (e) The stock pays no dividends. (d) The call premhum is 1.80
