FINC601
1). Which of the following is a part of Risk Management Process.
Identification of Risk
2). If the transaction costs are ignored, simultaneous sale of a call and purchase of put at same strike
price and expiry gives a payoff profile identical to
3). According to the black scholes model, the short term seller receives today price.
Full Cash Proceeds
4). A Protective put strategy is
A long put plus a long call on the same underlying assets
5). You write one AT&T February 50 put for a premium of $5. Ignoring Transaction costs what is the
breakeven price of this position.
$45
6) Which of the following is a exchange traded
Futures
7) The effective interest rate ‘B’ would be paying each year
8). All else equal call option value are lower
For high dividends payout policies
9). Calculate the presence value of bond A whose coupon rate is 7%
10). Suppose price of a share of Google stock is $500. An April call option on google stock has a premium
of $5 and an exercise price of $500. Ignoring connections, the holder of the call option will earn a profit if
the price of the share
11). All The following factor affect price of a stock option except
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The expected rate of return on stock
12). What does ‘A’ save by doing the swap and not borrowings from the market at LIBOR +2.5%floating
rate
13). In future the guarantee to fulfill the contract is given by
Buyer of the product
14). Which of the following statement/s is/are is incorrect? 1)call options with lower strike prices are
more valuable. 2) If the current stock price is above the strike price of a call, the option has some
intrinsic value. 3) Put option in lower strike price are more valuable 4). If the strike price is equal to the
current stock price an option is said to be at the money
15). Going long on currency and long on a put option results in a pay off profile of a
16). A Stock index currently stands at $350. The risk free interest rate is 8% P.A(With continuous
compounding) and the divided yield on the Index is 4%PA what should be future price for a four month
contract be
17). A Swap quote of LIBOUR/fixed 5 years swap at 85/95 over 5 yrs treasury by a bank means that
18). In the option pricing.
19). Speculators in currency futures markets are
20). Which of the following is true.
21). Consider a one year maturity call option and a one year put option on the same stock, both with
striking price $45. If the risk free rat is 4% the stock price is $48, and the put sells for $1.50, what should
be the price of the call
22). Transactions costs are relatively
23). The value of the forward contract at the time it is first entered is
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24). According to the Black Scholes model, the stock with call option pays
25). __ is used a major means of reducing risk in international transactions
26). If a foreign currency depreciates, exchange losses will occur when exposed
27). Buyinand selling call or put option with the same strike price but different expiration dates is called
28). The seller of an option has
29). In case of buying the call options, the loss incurred will be equal to
30). Hedging aims to
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