1. An exotic option, with K = 40, pays off 0 when St is 50, -5 when ST = 45 and 1 when ST = 39. Which of the following best describes the option? a. Gap call b. Up-and-in put c. Average strike Asian call d. Gap put e. Down-and-out call 2. The variance of returns on the OPRY500 stock index futures contract is 0.0529. The variance of returns on an OPRY500 index tracking portfolio is 0.0361. The coefficient of correlation between the index futures returns and portfolio returns is 0.92. What is the value of the minimum variance hedge ratio? a. -1.11368 b. -0.76 c. -0.62783 d. -1.00 e. -0.89792 3. Shares in Ryman plc are currently trading at 5 per share. The share has volatility of 22% per annum and the riskless rate of interest is 1.5% per annum. What, according to the Black-Scholes-Merton (1973) approach, is the delta of an at-the-money, 3-month European put option written on one Ryman share. a. -0.5355 b. -0.464505 C. 0.535495 d. 0.508341 e. -0.49166 1. An exotic option, with K = 40, pays off 0 when St is 50, -5 when ST = 45 and 1 when ST = 39. Which of the following best describes the option? a. Gap call b. Up-and-in put c. Average strike Asian call d. Gap put e. Down-and-out call 2. The variance of returns on the OPRY500 stock index futures contract is 0.0529. The variance of returns on an OPRY500 index tracking portfolio is 0.0361. The coefficient of correlation between the index futures returns and portfolio returns is 0.92. What is the value of the minimum variance hedge ratio? a. -1.11368 b. -0.76 c. -0.62783 d. -1.00 e. -0.89792 3. Shares in Ryman plc are currently trading at 5 per share. The share has volatility of 22% per annum and the riskless rate of interest is 1.5% per annum. What, according to the Black-Scholes-Merton (1973) approach, is the delta of an at-the-money, 3-month European put option written on one Ryman share. a. -0.5355 b. -0.464505 C. 0.535495 d. 0.508341 e. -0.49166