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8007 Exam Dumps : Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition

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Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition Questions and Answers

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Question 1

An underlying asset price is at 100, its annual volatility is 25% and the risk free interest rate is 5%. A European call option has a strike of 85 and a maturity of 40 days. Its Black-Scholes price is 15.52. The options sensitivities are: delta = 0.98; gamma = 0.006 and vega = 1.55. What is the delta-gamma-vega approximation to the new option price when the underlying asset price changes to 105 and the volatility changes to 28%?

Options:

A.

17.33

B.

18.75

C.

19.23

D.

20.54

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Question 2

A bond has modified duration 6 and convexity 30. Find the duration-convexity approximation to the percentage change in bond price when its yield increases by 5 basis points

Options:

A.

10 basis point rise

B.

24 basis fall

C.

24 basis point rise

D.

30 basis points fall.

Question 3

A 2-step binomial tree is used to value an American put option with strike 105, given that the underlying price is currently 100. At each step the underlying price can move up by 10 or down by 10 and the risk-neutral probability of an up move is 0.6. There are no dividends paid on the underlying and the continuously compounded risk free interest rate over each time step is 1%. What is the value of the option in this model?

Options:

A.

7.12

B.

6.59

C.

7.44

D.

7.29

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