Question
QUESTION 27 Suppose that we have a call option with a strike price of $91. S = $95; Su = $98; Sd = $85 What
QUESTION 27
Suppose that we have a call option with a strike price of $91.
S = $95; Su = $98; Sd = $85
What is the fractional share of stock that will make a riskless portfolio, in other words, what is Delta?
| A. | .4531 | |
| B. | .5385 | |
| C. | .6154 | |
| D. | .6233 |
QUESTION 28
Suppose that we have a stock that is priced at $157.50 and has a deltaof 2/8. The risk free rate is 1%. The stock up factor is 1.13. And the value of the call option in the up state is $9.
What is the price of this call?
| A. | $1.25 | |
| B. | $3.67 | |
| C. | $4.23 | |
| D. | $4.52 |
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Currency Strategy The Practitioners Guide To Currency Investing Hedging And Forecasting
Authors: Callum Henderson
2nd Edition
0470027592, 978-0470027592
