If you write 2000 call options on stock X with a premium of $3.15 and a strike price of 110, and at the expiration date the price of stock X is 114, then:

a.

your loss is $1700.

b.

your profit is $1700.

c.

your profit is $2300.

d.

your loss is $2300.

Select the statement that is incorrect. During the expansion period of a business cycle _________________?

a.

Companies in the discretionary sector will likely outperform the overall market portfolio

b.

You should consider investing in travel and construction industries

c.

Defensive industries should be preferred under the notion of sector rotation.

d.

Cyclical industries should be preferred under the notion of sector rotation.

Which of the following statements is incorrect?

a.

Duration of a zero-coupon bond is always equal to its maturity

b.

Duration can be used to approximate changes in bond price

c.

Duration immunization requires periodic rebalancing of the portfolio leading to transaction costs

d.

Duration of a bond doesnt change with passage of time

What is the price of a European put option on a non-dividend-paying stock when the stock price is $99, the strike price is $101, the continuously compounded risk-free rate is 2% per annum, the standard deviation is 35% per annum, and the time to maturity is six months? (hint: use the BS model)