Home / Questions / Can you please and please answer the questions for me please 1A If the stock price is 44 ...
Can you please and please answer the questions for me please
1A. If the stock price is 44, the exercise price is 40, the put price is 1.54, and the Black-Scholes-Merton price using 0.28 as the volatility is 1.11, the implied volatility will be
a. higher than 0.28 b. lower than 0.28 c. 0.28 d. lower than the risk-free rate
e. none of the above
1B. Which of the following statements about the delta is not true/
a. it ranges from zero to one
b. it converges to zero or one at expiration
c. it is given by N(d1) in the Black-Scholes-Merton model
d. it changes slowly near expiration if the option is at-the money
e. none of the above
1C. Find the upcoming net payment in a plain vanilla interest rate swap in which the fixed party pays 10 percent and the floating rate for the upcoming payment is 9.5 percent. The notional amount is $20 million and payments are based on the assumption of 180 days in the payment period and 360 days in a year.
a. fixed payer pays $1,950,000 b. fixed payer pays $950.000 c. floating payer pays $1 million d. floating payer pays $50,000 e. fixed payer pays $50,000
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