Ejercicio Módulo 3

Fecha de entrega 7 de mayo en 23:59 Puntos 20 Preguntas 20

Disponible 27 de abr en 18:30 - 7 de mayo en 23:59 Límite de tiempo Ninguno
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MÁS RECIENTE Intento 1 16 minutos 19 de 20

 Las respuestas correctas estarán disponibles el 8 de mayo en 0:00.

Puntaje para este intento: 19 de 20

Entregado el 3 de mayo en 10:38
Este intento tuvo una duración de 16 minutos.

Pregunta 1 1 / 1 pts

Jafee Corp. common stock is priced at $36.50 per share. The company just paid its $0.50
quarterly dividend. Interest rates are 6.0%. A $35.00 strike European call, maturing in 6 months,
sells for $3.20. What is the price of a 6-month, $35.00 strike put option?

$1.64

$1.20

$2.04

$2.38

Pregunta 2 1 / 1 pts
A company is forecasted to pay dividends of $0.90, $1.20, and $1.45 in 3, 6, and 9 months,
respectively. Given interest rates of 5.5%, how much dollar impact will dividends have on
option prices? (Assume a 9-month option.)

$3.45

$3.90

$4.22

$4.50

Pregunta 3 1 / 1 pts

Jillo, Inc. stock is selling for $54.70 per share. Calls and puts with a $55 strike and 40 days until
expiration are selling for $1.65 and $1.23, respectively. What potential arbitrage profit exists?

$0.12

$0.24

$0.36

$0.48

Pregunta 4 1 / 1 pts

The spot exchange rate of dollars per euro is 0.95. Dollar and euro interest rates are 7.0% and
6.0%, respectively. The price of a $0.93 strike 6-month call option is $0.08. What is the price of
the put?

$0.056

$0.016
 $0.032

$0.078

Pregunta 5 1 / 1 pts

Which of the following options will NOT be exercised early?

Call on a non-dividend paying stock

Put on a dividend paying stock

Call on a dividend paying stock

Put on a non-dividend paying stock

Pregunta 6 1 / 1 pts

Consider the case of an exchange option in which the underlying stock is Eli Lilly and Company
with a current price of $56.00 per share. The strike asset is Merck, with a per share price of
$52.00. Interest rates are 5% and the 3-month call option is trading for $7.00. What is the price
of the put?

$11.00

$3.00

$4.00

$4.00

Pregunta 7 1 / 1 pts
 The spot exchange rate in dollars per euro is $1.31. Dollar denominated interest rates are 4.0%
and euro denominated interest rates are 3.0%. What is the difference in call and put option
prices given a 2-year option and a $1.34 strike price?

-$0.1041

-$0.0652

$0.1233

$0.1546

Pregunta 8 1 / 1 pts

A stock is currently selling for $22.00 per share. Ignoring interest, determine the intrinsic value
of a call option should there exist equally probable stock prices of $25.00 and $23.00.

$2.00

$0.00

$1.00

$3.00

Incorrecto Pregunta 9 0 / 1 pts

Compute Δ for the following call option. The stock is selling for $23.50. The strike price is $25.
The possible stock prices at the end of 6 months are $27.25 and $21.75.

0.4091

0.6822
 0.8433

0.9216

Pregunta 10 1 / 1 pts

The stock price in KMW, Inc. is $50, $54, $56, and $48 on four consecutive days of
trading. What is the continuously compounded return on the stock over this time frame?

-4.08 %

-4.08 %

-4.00 %

-4.16 %

Pregunta 11 1 / 1 pts

A stock is selling for $32.70. The strike price on a call, maturing in 6 months, is $35.
The possible stock prices at the end of 6 months are $39.50 and $28.40. If interest
rates are 6.0%, what is the option price?

$3.40

$1.90

$2.80

$4.20

Pregunta 12 1 / 1 pts

The monthly standard deviation for a stock is 4.2%. What is the 6 month standard
deviation for the security?
 10.3 %

4.2 %

25.2 %

50.4 %

Pregunta 13 1 / 1 pts

A stock is selling for $18.50. The strike price on a call, maturing in 6 months, is $20. The
possible stock prices at the end of 6 months are $22.50 and $15.00. Interest rates are 6.0%. How
much money would you borrow to create an arbitrage on a call trading for $2.00?

$4.85

$2.54

$6.60

$8.85

Pregunta 14 1 / 1 pts

A stock is selling for $41.60. The strike price on a call, maturing in 6 months, is $45. The
possible stock prices at the end of 6 months are $35.00 and $49.00. Interest rates are 5.0%.
Given an under-priced option, what are the short sale proceeds in an arbitrage strategy?

$11.89

$6.36

$8.22

$10.43
Pregunta 15 1 / 1 pts

A stock is selling for $53.20. Interest rates are 6.0% and the returns on the stock have a standard
deviation of 24.0%. What is the forecasted up movement in the stock over a 6-month interval?

$64.96

$69.69

$73.48

$76.96

Pregunta 16 1 / 1 pts

Using a binomial tree, what is the price of a $40 strike 6-month call option, using 3-month
intervals as the time period? Assume the following data: S = $37.90, r = 5.0%, σ = 0.35

$3.08

$2.50

$2.50

$2.92

Pregunta 17 1 / 1 pts

Using a binomial tree, what is the price of a $40 strike 6-month put option, using 3-month
intervals as the time period? Assume the following data: S = $37.90, r = 5.0%, σ = 0.35

$3.91
 $3.52

$3.66

$3.84

Pregunta 18 1 / 1 pts

A call option has an exercise price of $30. The stock price at a point on the binomial tree is
$36.24. The calculated present value of the option at that same point is $5.86. What figure
should be used to calculate option prices at points moving toward the final price?

$6.24

$5.86

$6.62

$7.01

Pregunta 19 1 / 1 pts

In the case of a 1-year option, the current stock price is $52 per share. If the stock price
has an equal chance of ending the year at either $58 or $45, what is the △ given an
interest rate of 6.0% and an exercise price of $50?

0.6154

0.2145

0.3254

0.5411

Pregunta 20 1 / 1 pts
For an option trading in the money, what is the likely impact on the binomial option price as the
number of binomial steps is increased?

The price will fall

The price will increase

The price will remain constant

The impact cannot be determined

Puntaje del examen: 19 de 20