Consider a one-step binomial tree on stock with a current price of $200 that can go either up to $230 or down to $170 in 2 years. The stock does not pay dividend. Continuously compounding interest rate is 5%. Compute the payoff of a 2-year $210-strike European call option on the stock if the stock price ends down at the $170 node of the tree in 2 years.

TSLA stock price is currently at $800. The stock return has an annualized volatility (sigma) of 70%. The stock does not pay dividend and assume zero interest rate. Compute the Black-Merton-Scholes delta on a 6-month European call option on TSLA with a strike of $1000.

TSLA stock price is currently at $800. The stock return has an annualized volatility (sigma) of 70%. The stock does not pay dividend and assume zero interest rate. Compute the Black-Merton-Scholes value on a 6-month European call option on TSLA with a strike of $1000.

Suppose you are short 50 contracts on a 2-year 50-call option on TSLA. How much will your option position increase in value if TSLA stock price goes down by $2 (use negative number if value decreases).

"Consider the following 4 options on AAPL: (a) 1-year 25-delta call, (b) 1-year 25-delta put, (c) 2-year 50-delta call, (d) 2-year 60-delta put. Which of the 4 options has its strike price closest to the current stock price?"