Question 20 (1 point)

What's the value for a call option at node A with a strike price of $117?

Question 20 options:

	$1
	$2
	$3
	$4

Question 21 (1 point)

What's the replicating portfolio at node A for a put option with a strike price of $117?

Question 21 options:

	Short 0.7 share of IBM; Long $90 T-Bills;
	Short 0.9 share of IBM; Long $108 T-Bills;
	Buy 0.7 share of IBM; Short $90 T-Bills;
	Buy 0.9 share of IBM; Short $108 T-Bills;

Question 22 (1 point)

Saved

What's the replicating portfolio at node A for a call option with a strike price of $117?

Question 22 options:

	Short 0.1 share of IBM; Long $9 T-Bills;
	Short 0.3 share of IBM; Long $27 T-Bills;
	Buy 0.1 share of IBM; Short $9 T-Bills;
	Buy 0.3 share of IBM; Short $27 T-Bills;

Question 23 (1 point)

(*) An investor bought a straddle at the strike price of $117 at node A, i.e., he bought one share of 117 call and one share of 117 put. What is the total delta for this straddle portfolio?

Question 23 options:

	0.4
	-0.4
	0.8
	-0.8

Question 24 (1 point)

(*) A dealer sold that 117 straddle to the investor, and has been dynamically hedging it. What would be the dealer's action at node B?

Question 24 options:

	Buy some IBM stock
	Sell some IBM stock
	Do nothing as the put and call cancel with each other
	Cannot decide based on the information given

Question 25 (1 point)

If the 117 put option is an American option, and the interest rate is positive, at which node of the binomial tree is the put option never optimal to be exercised early? In another word, which node can you skip when checking for possible early exercise?

Question 25 options:

	Node A only
	Node B only
	Node C only
	Nodes A and B
	None. It is possible to find early exercise optimal at all three nodes if interest rate is very high.