2. An American call option has an exercise price of $30. The stock price at a point on the binomial tree is $36.24. The calculated present value of the option at that same point is $5.86. What figure should be used to calculate option prices at points moving backward the final price?"
4. " Assume that a $55 strike call has a 1.5% continuous dividend, r = 0.05 and the stock price is $50.00. If the option has 45 days until expiration, what is the vega given a shift in volatility from 33.0% to 34.0%?"
6. "Assume the following data on a 6-month call option, using 3-month intervals as the time period. K = $50, S = $48, r = 4.0%, = 0.27. What is the risk neutral probability of an up move in the stock price?"
8. "A stock is selling for $18.50. The strike price on a call, maturing in 6 months, is $20. The possible stock prices at the end of 6 months are $22.50 and $15.00. Interest rates are 6.0%. How much money would you borrow to create an arbitrage on a call trading for $2.00?"
10. "A stock is selling for $32.70. The strike price on a call, maturing in 6 months, is $35. The possible stock prices at the end of 6 months are $39.50 and $28.40. If interest rates are 6.0%, what is the option price?"
12. "A stock is selling for $53.20. Interest rates are 6.0% and the returns on the stock have a standard deviation of 24.0%. What is the forecasted up movement in the stock over a 6-month interval?"
14. "Compute for the following call option. The stock is selling for $23.50. The strike price is $25. The possible stock prices at the end of 6 months are $27.25 and $21.75."