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    MBA (Full-Time) II IV: INSTRUCTIONS: The Question Paper Seven Questions in Any Five Questions. All Questions Carry Equal

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    Akshay Mehta
    The document is a past paper for an exam on financial derivatives. It contains 7 questions related to option pricing models, including the Black-Scholes model and binomial option pricing model. The questions cover topics like put-call parity, arbitrage opportunities, and calculating option prices using different models.

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    MBA (Full-Time) II IV: INSTRUCTIONS: The Question Paper Seven Questions in Any Five Questions. All Questions Carry Equal

    Uploaded by

    Akshay Mehta
    19 views4 pages
    The document is a past paper for an exam on financial derivatives. It contains 7 questions related to option pricing models, including the Black-Scholes model and binomial option pricing model. The questions cover topics like put-call parity, arbitrage opportunities, and calculating option prices using different models.

    Original Description:

    2018-Strategic Management

    Original Title

    2019_Financial%20Derivatives

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    The document is a past paper for an exam on financial derivatives. It contains 7 questions related to option pricing models, including the Black-Scholes model and binomial option pricing model. The questions cover topics like put-call parity, arbitrage opportunities, and calculating option prices using different models.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    19 views4 pages

    MBA (Full-Time) II IV: INSTRUCTIONS: The Question Paper Seven Questions in Any Five Questions. All Questions Carry Equal

    Uploaded by

    Akshay Mehta
    The document is a past paper for an exam on financial derivatives. It contains 7 questions related to option pricing models, including the Black-Scholes model and binomial option pricing model. The questions cover topics like put-call parity, arbitrage opportunities, and calculating option prices using different models.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
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    You are on page 1of 4

    MBA (Full-Time) II Year Semester IV

    Examination 2019 Paper No:

    7108 Financial Derivatives


    Max. Marks: 50

    INSTRUCTIONS: The question paper contains


    Seven questions in three pages. Attempt any Five
    questions. All questions carry equal marks.

    State
    and Put-
    Call
    Parity
    theorem
    for
    Europea
    n
    options.
    Does
    the put-
    call
    parity
    rule
    apply to
    Americ
    an
    option?
    Why is
    it not
    optimal
    to
    exercise
    the
    Americ
    an call
    before
    maturity
    ?
    European
    put and
    call
    options
    with
    strike
    price $ 25
    and
    expiry in

    Scanned with CamScanner


    6- months
    are
    trading at
    $. 6.09
    and $
    8.78,
    respectiv
    ely. The
    current
    stock
    price is $
    21.37
    with risk
    free
    interest
    rate
    continuou
    s
    compoun
    ding
    equal to
    8%. Is
    there an
    arbitrage
    opportuni
    ty? How
    can it be
    exploited
    ?

    2. Consider a
    3-month
    American
    put with
    strike
    price $62
    and
    current
    stock
    price $60.
    The life of
    option is 3
    months in
    three-time
    steps of 1
    month and
    in each
    time step
    the stock
    price
    either
    moves up
    or moves
    down. If
    the
    volatility
    is 24%,
    calculate
    the option
    price on
    each node
    using
    Binomial
    option
    pricing
    model.
    Does the
    Binomial
    model
    give the
    same
    result as
    the Black-
    Sholes
    model for
    option
    prices?

    3. The stock price 6months


    from the expiration of an
    option is $80 with exercise
    price $ 82. The risk-free
    interest rate and
    volatility are 10% per
    annum and 25%
    per annum, respectively.
    Use Black —Sholes
    option pricing formula to
    obtain price
    of American Call and Put
    options. What is the
    intrinsic value of the
    option?

    4. A Mutual fund has the


    following portfolio (named
    X) of options

    Option Position (no of Delta Gamma


    options held
    Call -1500 0.6 2.4
    Put -2000 -0.4 1.7
    Call -750 0.5 1.9

    If options Y and Z
    having same delta of
    0.1, gamma of 0.5 and
    vega of .6 are also
    available for trade then:

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