《SOA mc-exam-mfe-0507》.pdfVIP

Exam MFE Spring 2007 FINAL ANSWER KEY Question # Answer 1 B 2 A 3 C 4 E 5 D 6 C 7 E 8 C 9 A 10 B 11 D 12 A 13 E 14 E 15 C 16 D 17 B 18 A 19 D **BEGINNING OF EXAMINATION** ACTUARIAL MODELS – FINANCIAL ECONOMICS SEGMENT 1. On April 30, 2007, a common stock is priced at $52.00. You are given the following: (i) Dividends of equal amounts will be paid on June 30, 2007 and September 30, 2007. (ii) A European call option on the stock with strike price of $50.00 expiring in six months sells for $4.50. (iii) A European put option on the stock with strike price of $50.00 expiring in six months sells for $2.45. (iv) The continuously compounded risk-free interest rate is 6%. Calculate the amount of each dividend. (A) $0.51 (B) $0.73 (C) $1.01 (D) $1.23 (E) $1.45 EXAM MFE: Spring 2007 - 1 - GO TO NEXT PAGE Actuarial Models – Financial Economics Segment 2. For a one-period binomial model for the price of a stock, you are given: (i) The period is one year. (ii) The stock pay