Lecture 5 Tutorial OPTION MARKETS ANI) CONTRACTS Use the following information to answer Questions 1 to 13: Current market price of ABC stock =$77 ABC stock price after 30 days =$80 ABC stock price after 45 days =$95 ABC stock price after 60 days =$80 ABC stock price after 75 days =$85 ABC: stock price after 90 days $70 Curent price of European call on ABC stock with exercise price of $93 with 90 days to expiration $2 Current price of European put on ABC stock with exercise price of $82 with 60 days to expiration = $6 Risk-free rate 500 1. The payoff to the put option holder on Day 30 is closest to: A. Zero B. $2 C. $2 2. The payoff to the eall option holder on Day 90 is closest to: A. Zero B. $23 C. \$21 3. The payoff to the put option writer on Day 60 is closest to: A. Zero B. $2 C. $4 4. The payoff to the eall option writer on Day 90 is closest to: A. Zero B. $23 C. $21 11. The price of a European call option with an exercise price of $82 and 30 days remaining expiration would be closest to: A. $1.33 B. $4.90 C. $1.03 12. At t=45, the minimum value of the call option is closest to: A. $2.56 B. $2 C. $0 13. At t=45, the minimum value of the put option is closest to: A. $0 B. $13 C. $13.16 Use the following information to answer Questions 35 to 37 : A European put option with an exercise price of $100 and 3 months till maturity is trading at $4 when the underlying stock is trading at $97. The risk free rate equals 5%. 35. All other factors remaining the same, the value of a fiduciary call most likely: A. Cannot be determined given the information B. Equals $101 C. Equals $1 36. All other factors remaining the same, the value of a European call is most likely: A. Cannot be determined given the information. B. $1 C. $2.21 Lecture 5 Tutorial OPTION MARKETS ANI) CONTRACTS Use the following information to answer Questions 1 to 13: Current market price of ABC stock =$77 ABC stock price after 30 days =$80 ABC stock price after 45 days =$95 ABC stock price after 60 days =$80 ABC stock price after 75 days =$85 ABC: stock price after 90 days $70 Curent price of European call on ABC stock with exercise price of $93 with 90 days to expiration $2 Current price of European put on ABC stock with exercise price of $82 with 60 days to expiration = $6 Risk-free rate 500 1. The payoff to the put option holder on Day 30 is closest to: A. Zero B. $2 C. $2 2. The payoff to the eall option holder on Day 90 is closest to: A. Zero B. $23 C. \$21 3. The payoff to the put option writer on Day 60 is closest to: A. Zero B. $2 C. $4 4. The payoff to the eall option writer on Day 90 is closest to: A. Zero B. $23 C. $21 11. The price of a European call option with an exercise price of $82 and 30 days remaining expiration would be closest to: A. $1.33 B. $4.90 C. $1.03 12. At t=45, the minimum value of the call option is closest to: A. $2.56 B. $2 C. $0 13. At t=45, the minimum value of the put option is closest to: A. $0 B. $13 C. $13.16 Use the following information to answer Questions 35 to 37 : A European put option with an exercise price of $100 and 3 months till maturity is trading at $4 when the underlying stock is trading at $97. The risk free rate equals 5%. 35. All other factors remaining the same, the value of a fiduciary call most likely: A. Cannot be determined given the information B. Equals $101 C. Equals $1 36. All other factors remaining the same, the value of a European call is most likely: A. Cannot be determined given the information. B. $1 C. $2.21
