11, 12

11. a In a Cox-Ross-Rubinstein binomial tree the relationship between the proportional dow- movement, d, and the proportional up-movement, u, is? (choose one) (a) d=-1 (b) d=1/u (c) d=2- (d) None of the above 12. Which two statements are true? (choose two) (a) Delta is a measure of the volatility of an option (b) Delta is a measure of the position in the underlying stock that should be taken to hedge an option (c) Delta is estimated by considering two adjacent nodes on a tree at a certain time and calculating the difference in option prices divided by the difference in the stock prices (d) The delta of a put option is positive 13. Which of the following are always positively related to the price of a European call option on a stock? Remember dividends. (choose three) The stock price