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Question
Assume S = $60, K = $60, r = 0.07, σ = 0.24, div = 0.02, and 90 days until expiration. What is the premium on an Asian average price put where N = 4?A) $1.74
B) $1.84
C) $1.94
D) $2.04
Answer
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Related questions
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Assume the following: LN(S) and LN(Q) have a correlation coefficient of -0.65, S(0) = 55, Q(0) = 60, r = 0.04, σs = 0.22 σQ = 0.15, and dividends = 0. Using formula 20.39, what is the price of a claim that pays Q/?
A) $8.16
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D) $11.16
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A) $1.34
B) $1.36
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D) $1.40
Q:
What is the total dollar cost to create a delta hedge position against a 200 short call position? Assume calls are priced at $4.16, the delta is 0.7644, and stock price is $73.00.
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