Question 1

For a long put position,what benefit is provided by a gap option should prices rise?

Accepted Answer

The answer of For a long put position,what benefit is...

Question 2

When hedging a foreign currency position,what makes a down-and-out put unattractive?

Accepted Answer

The answer of When hedging a foreign currency position,what makes...

Question 3

Assume S = $31.75,div = 0,r = 0.03,and σ = 0.20,and 90 days until the expiration of a standard call option.A call on call compound option with an exercise price of $2.00 has 180 days until expiration.What is the premium of the call on call option?

Accepted Answer

A)  $1.46 
B)  $2.46 
C)  $3.04 
D)  $3.53

Question 4

Assume S = $42,K = 45,div = 0,r = 0.04,σ = 0.48,and 80 days until expiration.What is the premium on a knock-out put option with a down-and-out barrier of $44?

Accepted Answer

A)  $2.13 
B)  $3.13 
C)  $3.47 
D)  $4.07

Exam 14: Exotic Options: I

For a long put position,what benefit is provided by a gap option should prices rise?

When hedging a foreign currency position,what makes a down-and-out put unattractive?

Assume S = $31.75,div = 0,r = 0.03,and σ = 0.20,and 90 days until the expiration of a standard call option.A call on call compound option with an exercise price of $2.00 has 180 days until expiration.What is the premium of the call on call option?

Assume S = $42,K = 45,div = 0,r = 0.04,σ = 0.48,and 80 days until expiration.What is the premium on a knock-out put option with a down-and-out barrier of $44?