期权交易试题_UIC_2011年春季.pdfVIP

FIN416 Exam-1 It is required that you submit in plain text, within the body of the email sent to sacharya@uic.edu, your UIN and then only two columns of numbers: (a) question serial number and (b) the corresponding numerical answer. Write 999999 for all blank answers. You are also required to attach to the email detailed works (scanned, pdf or doc files) to your em ail; do not attach answers which must be in plain text within the email itself. Non-numerical characters or explanations for answers within the body of the email will not be accepted. Each question carries equal weight. If you believe that more data are necessary to solve, assume whatever you think is necessary to answer the questions. All questions are required to be answered independently without any consultation with other students or professors. Email submissions are due by 9:30 a.m. on Sunday, February 20, 2011. Answers submitted by any other means or after the deadline will be treated as missing with zero credit. In each problem, X is the sum of the last 9 digits of your official UIN divided by 7. For example, if your UIN is 123456789, then X = (1+2+3+4+5+6+7+8+9)/7 = 6.42857. Algebraic expressions involving X should evaluated as usual, for example, 6X-2 = 34 if X=6. Interest rates are expressed as annualized rates for the term specified. Report your interest rate answers as fractional numbers like 0.11 for 11% per year. You should report any confusion (except how to solve the problems) by email right away to get the clarification before completing the test. Problem A. Consider a European Call and a European Put option on a stock trading at a price of $18+