Question 11 5 pts Which of the following derivatives is least likely to have a value of zero at initiation of the contract? none of the listed as they all have a value of zero at initiation. O option contract. O futures contract. forward contract. O Question 12 5 pts If the current stock price is $100 and there is a probability of 0.5 that it will rise 10% in price and an equal probability that it will fall 5% in price in 1 month, what is its expected price in 1 month? $102.5 $92.5 $112.5 $82.5 Question 13 5 pts Which of the following is not a forward commitment for all parties involved? Swap Futures contract Forward contract Put option Question 14 5 pts If an agent is short a forward contract which is struck at $1,000 and at maturity the underlying is priced $1,100, the agent is due to receive $100. the agent is due to receive $1,100. the agent is obligated to pay $1,100. O the agent is obligated to pay $100. Question 15 5 pts If the strike price of a call option is $100 and the price of the underlying stock is $110 at maturity, the payoff of the call option is $50 $1 o $5 $10 Question 16 5 pts Forward contracts differ from futures contracts in that: Forward contracts are subject to daily price limits. Forward contracts have maintenance margin requirements. O Forward contracts cannot be customised unlike futures contracts. Forward contracts have higher counter-party risk than futures contracts. Question 17 5 pts With all other terms being equal, a put option with a strike price of $100 is ___ when compared with a put option with a strike price of $110. dearer cheaper possibly cheaper or dearer equal in value Question 18 5 pts In the binomial model, if the risk-free rate is 5%, the up-factor is 1.1, the down-factor is 0.9, the time step is 1 and there is no dividend yield, then the risk neutral up-probability is closest to: 0.75 0.66 0.56 0.86 Question 19 5 pts When the volatility of the underlying stock increases, which of the following is the most likely? the put option price increases. the call option price stays the same. the put option price stays the same. O the put option price decreases. Question 20 5 pts Options are often combined to construct strategies that are compatible with market views. Which of the following is an option combination suitable to buy for markets susceptible to large moves? O butterfly spread O bull spread straddle bear spread