1. Cuu=

Select one:

1.

309

2.

234

3.

335

4.

293

5.

207

2. Cud=

Select one:

1. 23
2. 8
3. 15
4. 12
5. 0

3. Cdd=

Select one:

1. 1
2. 2
3. 0
4. 5
5. 12

4. To calculate Cu, the hedge ratio is

Select one:

1. 0.3
2. 0.4
3. 0.5
4. 1
5. 1.2

5. Cu=

Select one:

1.

103.344

2.

106.981

3.

111.224

4.

112.343

5.

123.456

6. To calculate Cd, the hedge ratio is

Select one:

1. 0.4
2. 0.7
3. 0.1
4. 0.3
5. 0

7. Cd=

Select one:

1.

5.887

2.

2.387

3.

3.444

4.

1.398

5.

4.554

8. To calcuate C0, the hedge ratio is

Select one:

1.

0.223

2.

0.345

3.

0.983

4.

0.674

5.

0.783

9. C0=

Select one:

1. 23
2. 12
3. 55
4. 34
5. 45

Q2 A stock price can take only two possible values for 1 period S0=$300d=1.3 P probability of going up =0.75 X=$300 T=2 period Rf=6% per period No dividend payment before the expiration date European style call option Q2 A stock price can take only two possible values for 1 period S0=$300d=1.3 P probability of going up =0.75 X=$300 T=2 period Rf=6% per period No dividend payment before the expiration date European style call option