Exam questions January 2014

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