题目内容

A stock is priced at ＄100.00 and follows a one-period binomial process with an up move that equals 1.05 and a down move that equals 0.97. If 1 million Bernoulli trials are conducted, and the average terminal stock price is ＄102.00, the probability of an up move (p) is closest to:

A. 0.375
B. 0.500
C. 0.625

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In the binomial model, the difference between the up and down factors best represents the:

A. volatility of the underlying.
B. moneyness of an option.
C. pseudo probability.

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Which is the correct pair of statements? The BSM model assumes:

A. the return on the underlying has a normal distribution. The price of the underlying can jump abruptly to another price.
B. brokerage costs are factored into the BSM model. It is impossible to trade continuously.
C. volatility can be predicted with certainty. Arbitrage is non- existent in the marketplace.

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The Black-Scholes-Merton model assumes that:

A. Only long positions can be taken in securities.
B. Translation costs must be proportional to the price of the underlying security.
C. Securities are perfectly divisible.
D. The underlying security’s price follows a normal distribution.

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The current price of a stock is ＄25. A put option with a ＄20 strike price that expires in six months is available. $N(d_1)$ = 0.9737 and $N(d_2)$ = 0.9651. If the underlying stock exhibits an annual standard deviation of 25%, and the current continuously compounded risk-free rate is 4.25%, the Black-Scholes-Merton value of the put is closest to:

A. ＄0.01
B. ＄0.03
C. ＄0.33
D. ＄0.36

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A stock is priced at ＄100.00 and follows a one-period binomial process with an up move that equals 1.05 and a down move that equals 0.97. If 1 million Bernoulli trials are conducted, and the average terminal stock price is ＄102.00, the probability of an up move (p) is closest to:

A. 0.375 B. 0.500 C. 0.625

In the binomial model, the difference between the up and down factors best represents the:

Which is the correct pair of statements? The BSM model assumes:

The Black-Scholes-Merton model assumes that:

A. 0.375
B. 0.500
C. 0.625