Exam questions January 2014

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Exam questions January 2014

Bericht  lolzor op di feb 25, 2014 3:42 am

1)Proof put call parity. Can the same relationship be used for American calls.

2)What is the delta for an ATM Call with volatility between .2 and .3 with 1 year maturity?
<.35
Between .35 and .65
Between .65 and 1
>1

If there is a VIX of 16, what is the daily devation of a stock?
1%
2%
3%
4%

If you would exchange 100 USD in euro how much would you get in today's prices?
<80
Between 80 and 125
Between 125 and 140
>140

If K=S0exp{rT}, is the euro put equal to the euro call with same maturity?
True/False

3) discuss pricing of 2-step trinomial American Put

4)explain relationship between Itô's lemma, Feyman-Kac and Black&Scholes

lolzor

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