Fina 4522 Online Quiz 4 Fina 4522 002 Options And Derivatives I Fall 2017

This study source was downloaded by 100000802832151 from CourseHero.com on 11-08-2022 07:00:45 GMT -06:00https://www.coursehero.com/file/52769328/Online-Quiz-4-FINA-4522-002-Options-Derivatives-I-Fall-2017pdf/ 10/30/2018Online Quiz 4: FINA 4522, 002 Options & Derivatives I (Fall 2017)https://canvas.umn.edu/courses/25623/quizzes/122521/6OnlineQuiz4DueNoduedatePoints100Questions10TimeLimit40MinutesAllowedAttemptsUnlimitedThisquizisnolongeravailableasthecoursehasbeenconcluded.AemptHistoryAttemptTimeScoreLATESTAttempt123minutes10outof100SubmittedOct22,2017at8:20pmQuestions1,2,and3arebasedonthefollowinginformation.ThecurrentpriceofAppleInc.(AAPL)is$489pershare.ThefollowingTableprovidespricesforEuropeancallandputoptionsononeshareofApplestockwithmaturityof3month.Thefirstcolumniscalloptionprices,thesecondcolumnlistthestrikepricesoftheoptionsandthelastcolumnisputoptionprices.Thecontinuouslycompoundedinterestrateis3%peryear.CallStrikePut52.2745012.359.835500/10ptsQuestion1This study source was downloaded by 100000802832151 from CourseHero.com on 11-08-2022 07:00:45 GMT -06:00https://www.coursehero.com/file/52769328/Online-Quiz-4-FINA-4522-002-Options-Derivatives-I-Fall-2017pdf/10/30/2018Online Quiz 4: FINA 4522, 002 Options & Derivatives I (Fall 2017)https://canvas.umn.edu/courses/25623/quizzes/122522/6Thenoarbitragepriceoftheputoptionwithastrikepriceof550is$__________pershare.66.7204YouAnsweredYouAnsweredorrectAnswersorrectAnswers69.16(withmargin:0.05)Usingputcallparity,wehavec(450)p(450)=PV(S)PV(K).Giventhepricesofthecall(450)andput(450),wecancalculatePV(S)=486.56.Asaresult,p(550)=c(550)[PV(S)PV(K)]=c(550)+59.33=$69.16pershare.TTT10/10ptsQuestion2SupposethevolatilityofApplestocksincreasesonthenexttradingday,butthepriceofthestockstaysthesame.Considerastraddlethatconsistsofalongpositioninacalloptionwithastrikepriceof450andalongpositioninaputoptionwiththesamestrikepriceandmaturity.HowwouldthepriceoftheStraddlechange?Thepriceofthestraddleshouldincrease.Correct!Correct!Thepriceofthestraddleshoulddecrease. Thepriceofthestraddleshouldremainconstant. Notenoughinformationtodetermine.This study source was downloaded by 100000802832151 from CourseHero.com on 11-08-2022 07:00:45 GMT -06:00https://www.coursehero.com/file/52769328/Online-Quiz-4-FINA-4522-002-Options-Derivatives-I-Fall-2017pdf/10/30/2018Online Quiz 4: FINA 4522, 002 Options & Derivatives I (Fall 2017)https://canvas.umn.edu/courses/25623/quizzes/122523/6Optionspricesincreasewithvolatility.Therefore,asvolatilityincreases,bothcallandputoptionpricesincrease,andsodoesthevalueofthestraddle.0/10ptsQuestion3Consideralongcombinationthatconsistsofalongpositioninthecalloptionwithastrikepriceof45andashortpositioninaputoptionwiththesamepriceandmaturity.Howwouldthepriceofthelongcombinationchange?Thepriceofthelongcombinationshouldincrease.YouAnsweredYouAnsweredThepriceofthelongcombinationshouldremainthesame.orrectAnswerorrectAnswerOptionspricesincreasewithvolatility.However,putcallparityimpliesthattheincreaseinthecalloptionpriceisthesameastheincreaseintheputoptionprice.Therefore,thepriceofthelongcombinationdoesnotchange.0/10ptsQuestion4Usetheputcallparitytodeterminewhichofthefollowingstatementiscorrect.Thepriceofthelongcombinationshoulddecrease. Notenoughinformationtodetermine.This study source was downloaded by 100000802832151 from CourseHero.com on 11-08-2022 07:00:45 GMT -06:00https://www.coursehero.com/file/52769328/Online-Quiz-4-FINA-4522-002-Options-Derivatives-I-Fall-2017pdf/10/30/2018Online Quiz 4: FINA 4522, 002 Options & Derivatives I (Fall 2017)https://canvas.umn.edu/courses/25623/quizzes/122524/6AnatthemoneyEuropeancalloptionmustbemoreexpensivethananatthemoneyEuropeanputoptionwiththesamematurityandstrikepriceaslongastheunderlyingstockisnotexpectedtopaydividendsbeforematurity.orrectAnswerorrectAnswerAnatthemoneyAmericancalloptionmustbemoreexpensivethananatthemoneyAmericanputoptionwiththesamematurityandstrikepriceaslongastheinterestrateiszero.YouAnsweredYouAnsweredConsideranondividendpayingstockXYZ.Supposethehistoricalstandarddeviationofthelogannualreturnofthestockis=30%.Supposethecontinuouslycompoundedinterestrateperannumis5%,andthecurrentpriceofthestockisS=100.Belowisthebinomialtreeofthestockpricemovementoverthenextsixmonths.ConsideraEuropeancalloptiononthestockwithamaturityof6monthsandastrikepriceof102.0AnatthemoneyAmericancalloptionmustbemoreexpensivethananatthemoneyAmericanputoptionwiththesamematurityandstrikepriceaslongastheunderlyingstockisnotexpectedtopaydividendsbeforematurity. AnatthemoneyEuropeancalloptionmustbemoreexpensivethananatthemoneyEuropeanputoptionwiththesamematurityandstrikepriceaslongastheinterestrateiszero.This study source was downloaded by 100000802832151 from CourseHero.com on 11-08-2022 07:00:45 GMT -06:00https://www.coursehero.com/file/52769328/Online-Quiz-4-FINA-4522-002-Options-Derivatives-I-Fall-2017pdf/10/30/2018Online Quiz 4: FINA 4522, 002 Options & Derivatives I (Fall 2017)https://canvas.umn.edu/courses/25623/quizzes/122525/60/10ptsQuestion5ComputetheonestepaheadstockreturnuanddusingMcDonald'sformula,u=ed=e:u=_________.(r)h+\(\sqrt{h}\)(r)h\(\sqrt{h}\)YouAnsweredYouAnsweredorrectAnswersorrectAnswers1.1764(withmargin:0.02)0/10ptsQuestion6UsingtheMcDonald'sformulaasgiveninquestion5,d=____________.YouAnsweredYouAnsweredorrectAnswersorrectAnswers0.8715(withmargin:0.0200000000000001)0/10ptsQuestion7ComputeDeltaatnodeu:_______________.Thatis,whatisthenumberofsharesinthereplicatingportfolioforthecalloptionatnodeu?YouAnsweredYouAnsweredorrectAnswersorrectAnswers1.0(withmargin:0.01)0/10ptsQuestion8This study source was downloaded by 100000802832151 from CourseHero.com on 11-08-2022 07:00:45 GMT -06:00https://www.coursehero.com/file/52769328/Online-Quiz-4-FINA-4522-002-Options-Derivatives-I-Fall-2017pdf/Powered by TCPDF (www.tcpdf.org)10/30/2018Online Quiz 4: FINA 4522, 002 Options & Derivatives I (Fall 2017)https://canvas.umn.edu/courses/25623/quizzes/122526/6ComputeBatnoded:__________.Thatis,whatisthetotalamountoftheriskfreeassetinthereplicatingportfolioforthecalloptionatnoded?Pleaseusethepositivesignforlongpositionsandthenegativesignforshortpositions.YouAnsweredYouAnsweredorrectAnswersorrectAnswers1.5003(withmargin:0.05)0/10ptsQuestion9Pleasecomputethepriceofthecalloptionatnode0:_____________.YouAnsweredYouAnsweredorrectAnswersorrectAnswers7.8546(withmargin:0.049999999999999)0/10ptsQuestion10Pleasecomputethepriceaputoptionwiththesamestrikepriceandmaturityatnode0:____________.YouAnsweredYouAnsweredorrectAnswersorrectAnswers7.3362(withmargin:0.05)