Question Completion Status QUESTION 1 2 points Save Answer A nisk-less portfolio usually consists of stocks and bonds. True False QUESTION 2 2 points Save Answer The return on a riskless portfolio is called risk-free return True False QUESTION 3 2 points Save Answer The detta of a riskless portfolio with put options is usualy negative True False Click Sane and Submit to save and submit. Click Saw All Art to save allowers Save All Answers Close Window Save and Submit SC $ 4 1 2 3 ma E 5 0 6 1 7 V 8 9 9 9 0 . E - R T U oleli Question Completion Status QUESTION 4 2 points Save Answer The number of stocks in a risky portfolio can't be called deltn. True Faise QUESTION 5 2 points Save Answer Option prices computed using Black-Scholes formula do not assume any transaction cost or taxes. True Fai QUESTION 6 2 points Save Answer The expected return on the underlying asset in the real world is relevant True Falso Click Save and Summit to see and submit Click ST Ansor to all Save All Answers Close Window Save and Submit ONG A $ 4 2 % 5 1 3 E 0 6 7 7 V 00 8 A 9 a 0 Q W E R T Y U Eliali D: 3 6 E . RO Question Completion Status QUESTION 7 2 points Save Answer It expected return on the underlying asset is assumed to be risk-free then the derivative valuation on the asset is called risk-neutral Valuation True False QUESTIONS 2 points Save Answer I putoparity holds the investor cannot earn risk-free profit True Faite QUESTIONS 2 points Save Answer The delta) of a risk.es portfolio with all option is usually negative The Fase Click and submitte mit Chick Save and to all Save All Anwar Cloon Window Save and Submit A . % 5 7 1 2 a 7 V F 3 4 6 0 8 00 A 9 1 0 9 a 3 22 WS E R T Y U PL 2 0 l cs Co Joi E 4 ro Question Completion Status QUESTION 10 40 points Save Answer Question # 182 Suppose that today's price of General Motors stock is $50 and it is also known that in four months it will move either up or down by 10% of its current value. Suppose that you buy some stocks today and enter into a short position of a call option to sell one stock in four months at a strike price $53. Using this information please complete the following table: Nodas A B C Marks 10 16 12 Stock Price 50 Delta Option Price Portfolio Value For me toolbar, press ALT-F10 (PC) or ALT.N.F10 Mac) BIUS Paragraph Arial 12 6 XX . CR 1T HO SEE SEE = Click Save and Submit to save and submit. Click Save All Angers to answer all newers Sanre Al Answers Close Window Save and Submit esc S 4 1 2 3 w E LO 0 6 7 7 V 8 A 9 a 0 W = E 0 R Y T P10 Question Completion Status QUESTION 12 20 points Save Answer Question 4 Consider an option on a non-dividend paying stock when the stock price is $26, the exercise price is $27.5, the risk-free rate is 4% per annum, the volatility is 25% per annum, and the time to maturity is 8 months. What are prices of European put and call options on the stock? For the toolbar, press ALT+F10 PC or ALT+FN-F10 (Mac) Igs Paragraph Arial 14px A I v > !!!! - + T 99 0 5 SEE X X, 8 T Te BER 22 . P O WORDS POWERED BY TINY Click Save and submit to save and submit chok See All Answers to sate allavesiu. Save All Answers Close Window Save and Submit * & $ 4 $ 7 2 3 3 5 0 6 7 7 V V 8 A a 0 Q W E R T Y U - 0 o P be co los E 1 QUESTION 11 22 points Save Answer Question #3 A stock price is currently $25. Assume that the expected return form the stock is 12% and its variance is 36% per annum. What will be 3 standard deviation move in stock price in 3 weeks? For the toolbar, press ALT=F10 (PC) or ALT-FN-F10Mac BIUS Paragraph Arial 14px AI Q5 3 x X, Te 199 3 ES E. DES BEE V !!!