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problem 1:

prepare down and illustrate out the Black-Scholes European call option pricing formula. Discuss and describe how call prices it delivers change with each of the inputs to the computations.

problem 2:

What is the price of European call option on a non-dividend paying stock when the stock price is $52, the strike price is $50 and the risk-free rate is 12% per annum, the volatility is 30% per annum and time to maturity is three months?

problem 3:

A call option with a strike price of $50 costs $2. A put option with strike price $45 costs $3. Illustrate out, using an appropriate diagram, how a strangle can be created from these two options.  What is the pattern of profits from strangle?

problem 4:

A one month European put option on a non-dividend paying stock is now selling for $ 2.50. The stock price is $47, the strike price is $50 and the risk free interest rate is 6% per annum. What opportunities are there for arbitrageur?

problem 5:

Make a distinction between Transaction, Translation risk and economic risk in foreign exchange market. (Use an illustrative and numerical ex in each case.

problem 6:

In the case of transaction risks critically illustrate out how one can use forward-spot swap deals and forward-forward deals to manage the risk.

problem 7:

Examine how, as group treasurer, you can manage the translation risk of your multinational enterprise?

Management Theories, Management Studies

  • Category:- Management Theories
  • Reference No.:- M97846

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