單項選擇題

Consider a one-period binomial model of 6 months. Assume the stock price is $45.00, σ = 0.

20, r = 0.06 and the stock’s expected return is 12.0%. What is the discount rate for a $45.00 strike European call option （）？A．38．2%B．39．1%C．42．5%D．45．6%

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單項選擇題

The $850 strike put premium is $25.45 and the $850 strike call is selling for $30.51. Calc

ulate the breakeven index price for a strategy employing a short call and long put that expires in 6 months. Interest rates are 0.5% per month.A．＄822．67B．＄824．79C．＄830．76D．＄875．82

單項選擇題

Compute Δ for the following call option. The stock is selling for $23.50. The strike price is $25. The possible stock prices at the end of 6 months are $27.25 and $21.75.

A.0．4091
B.0．6822
C.0．8433
D.0．9216