A stock is currently selling for $46.50. A 3-month put optio…

A stock is currently selling for $46.50. A 3-month put option with a strike price of $50 has an option premium of $5.05. The risk-free rate is 5% and the market rate is 8.75%. What is the option premium on a 2-month call with a $30 strike price? Assume the options are European style. exam spreadsheet (8).xlsx

Taren has an equity portfolio valued at $10.25 million that…

Taren has an equity portfolio valued at $10.25 million that has a beta of 1.28. Taren has decided to hedge this portfolio using SPX call option contracts. The S&P 500 index is currently 1,500. The option delta is 0.544. How many option contracts must Taren write to effectively hedge this portfolio? exam spreadsheet (8).xlsx

Stock A has a standard deviation of 15% per year and Stock B…

Stock A has a standard deviation of 15% per year and Stock B has a standard deviation of 8% per year. The correlation between Stock A and Stock B is .40. You have a portfolio of these two stocks wherein Stock B has a portfolio weight of 40%. What is your portfolio variance? exam spreadsheet (8).xlsx

A call option with 6 months to expiration currently sells fo…

A call option with 6 months to expiration currently sells for $2.05. A put option with the same expiration sells for $.60. The options are European style. The risk-free rate is 3.0% and the strike price of both options is $50. What is the current stock price? exam spreadsheet (8).xlsx