题目内容

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

Consider a 1-year European call option with an exercise price of EUR 70. The price of the underlying non-dividend-paying stock is EUR 75 and the annual risk-free rate is 4%. The following estimates have been made:Black-Scholes-Merton model $N(d_1)$ = 45%Risk-neutral probability of not exercising the call option at maturity = 63%Which of the following is closest to the price if the call option?

A. EUR 8.87
B. EUR 9.89
C. EUR 10.75
D. EUR 12.32

The stock is trading at USD20.TheEuropeancallonthe USD10 strike expiring in 1 months is actively trading at USD 9. What trade do you want to execute?

A. Need to know the dividends
Buy the call
C. Sell the call
D. Need to know the interest rates
E. Need to know the counterparty

‍‍How is historical trading-day volatility measured?Step 1:A) Calculate the absolute change in closing prices as the data set.B) Calculate the percentage change in closing prices as the data set.Step 2:C) Calculate the standard deviation of the data set.D) Calculate the variance of the data set.‍Step 3:E) Multiply it by$\sqrt{252}$.F) Multiply it by$\sqrt{365‍}$.‍‍

A, D, E
B. A, C, F
C. B, C, F
D. A, D, F
E. B, D, E
F. B, C, E
G. B, D, F
H. A, C, E