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Thi gian cn li 1:28:14 Form a long butterfly spread using the three call options in the table below: CI C2 C3 Strike $90 Strike- $100 Strike= $110 Expiry=180 days Expiry=180 days Expiry=180 days Price 16.3300 10.3000 6,0600 DELTA 0.500 0.721 0.81 GAMMA 0.0138 0.0191 0.0187 THETA -112054 -12.2007 -114208 VEGA 20.4619 22.8416 25.6602 RHO 25.7085 212515 17.5394 How would you make this portfolio delta neutrol? Suppose that the size of one option is 1000 underlying assets. O a short 132 underlying assets Ob. Long 252 underlying assets. 04 Short 231 underlying assets. od Long 132 underlying assets. . An investor purchases 100 shares of common stock at 50 each and simultaneously sells call options on 100 shares of the stock with a strike price of 65 ot a premium of CI per option. At the expiration date of the options, the share price is 58. The investor's profit is closest to 0 600 b. 400 o i 6 * maytinhhoangha.vn Couns 21 Chuo oth 4.00 Foto Consider o two 1-year period binomial model in which o stock currently trades at a price of $65. The stock price can go up 20% or down 17% each period. The risk-free rate is 5% po, continuously compounded. Calculate the price of a call option expiring in 2 years with an exercise price of $60. OG $13.50 Ob. $12.93 OC $19.23 Od $1181 Cours 22 Chuo D4,00 Toob Use the Black-Scholes-Merton model to calculate the prices of European call and put options on an asset priced at 68.5. The exercise price is 65, the continuously compounded risk-free rate is 4% pa. cont the options expire in 10 days, and the volatility is 0.38. There are no cash flows on the underlying O a $7.95$ for call, 3.67 for put. Ob. 85.67 for call. 87.05 fot put oc $9.75 for cot s073 for put Od Not enough information Coun 23 Chatro Dot 4.00 Which of the following statements best describes a feature of an American option? Early exercise of an American Ca put option that is deep-in-the-money may be optimal Ob call option is never optimal in the underlying is dividend paying Oc call option is always optimal Od put option is optimal only if the underlying is dividend paying Vega measures: Cou24 Choti Dat de 4.00 Oo The rate of change of the portfolio value with the passage of time Type here to search o i G 6 > c 3 0 maytinhhaugia vn Coun 23 Chori Datim 4.00 Which of the following statements best describes a feature of an American option? Early exercise of an American Oo put option that is doop-in-the-money may be optimal Ob call option is never optimal if the underlying is dividend paying. Oc coll option is always optimal. Od put option is optimal only if the underlying is dividend paying. Cound 24 Chuo Det de 4.00 Vega measures: Da The rate of change of the portfolio value with the passage of time Ob The sensitivity of the portfolio value to interest rate changes OC. The rate of change of delta with the asset price Od None of the above Co 25 Cheatro Cam4.00 Foto Which statement is correct? O A risk noutrol valuation means that investors are rink neutral Ob Investor risk preferences affect the value of a stock option when it is expressed as a function of the price of the underlying stock Oc. Any security dependent on other traded securities can be valued on the assumption that investors are risk neutral. O d. In a risk neutral world, the expected return from all investment assets in the CAPM return Kt thc - An investor holds title to an asset worth 125.72. To raise money for an unrelated purpose, the investor plans to sell the asset in nine months. The investor is concerned about uncertainty in the price of the asset at that time. The investor learns about the advantages of using forward contracts to manage this risk and enters into such a contract to sell the asset in nine months. The risk-free interest rate is 5.62%, cont. Determine the appropriate price the investor could receive in 9 months by means of the forward contract a $131.13. Ob $132.98 OG $135.72 Od: $113.72 The spot rate for British pounds is $176. The US risk-free rate is 6.1%, and the UK risk-free rate is 6.2%;both are compounded continuously. One-year forward contracts are currently quoted at a rate of $175. Identity a strategy with which a trader can earn a profit at no risk by engaging in a forward contract, regardless of her view of the pound's likely movements. 0 Short forward for E, borrow $, sells & buy , investe. Ob Long forward tore, borrow $, seus & buy investe. OC Long torward for S, borrowe, selle& buys, invest s. Od short forward for S, borrow . selt& buy S. Invest s