It's after 9, let's discuss!

[Nonpareil]

Originally Posted by rfkwan

So is #7 the only one that we're all pretty much agreeing the PAK has wrong?

I think so.

[td25er]

Originally Posted by silva086

Yup, got this as well. 300 from the first part (puts?), 0 from the barrier, 60 from the Asian call

I thought only the Puts ended up paying off?

[Nonpareil]

Originally Posted by td25er

I thought only the Puts ended up paying off?

No the Asian call paid off as well. The average was 42 and the strike was 40, so you got 2 per Asian call, and you had 30 of those, for $60, plus the $300 on the puts, for a total of $360.

[coolhand]

Originally Posted by christian

No the Asian call paid off as well. The average was 42 and the strike was 40, so you got 2 per Asian call, and you had 30 of those, for $60, plus the $300 on the puts, for a total of $360.

Agree.

[Heathen]

Originally Posted by newl07

There was one on barrier options, the total payoff was 360 E. Barrier wasn't hit making payoff of that portion zero.

yep, got 360

[td25er]

Originally Posted by christian

No the Asian call paid off as well. The average was 42 and the strike was 40, so you got 2 per Asian call, and you had 30 of those, for $60, plus the $300 on the puts, for a total of $360.

Dear Lord, I did the Asian options as puts. Easiest question on the exam and I missed it b/c I can't read! Oh well. Sitting at 14/19....13/19 if 7 is wrong.

[coolhand]

Originally Posted by td25er

Dear Lord, I did the Asian options as puts. Easiest question on the exam and I missed it b/c I can't read! Oh well. Sitting at 14/19....13/19 if 7 is wrong.

Either way you are probably fine! Good job!

[Heathen]

angst.... 2k raise... angst...

[Eagle.K.Y]

Originally Posted by newl07

pi/alpha problem. My answer was 0.119.

I believe, after B.S formula, you will have Pi/Alpha = 2 * N(0.15) - 1 = 0.119

[Eagle.K.Y]

Originally Posted by PSUHockey1

That was for #15 I believe. I also came up with an exp(rt) of 1.09xxxxx, but it led me to 1097 C rather than 771 A as Eagle posted.
I don't remember C and P exactly at time 0, but I believe the difference was 6.8.


Originally Posted by Eagle.K.Y View Post
I spent heck time on that one too.

at the 0, C - P = 40 - K exp{-rT}
at the t, 14.4 - 0.30 = 50 - K exp(-r(T-t)}

find the ratio of 1 and 2, you will have exp{rt}, then to find initial investment interest during the t. (I guess mine was 1.09xxxxx)

I chose A, 771.

Maybe I was wrong about this one, but the exp{rt} should be correct. What I did is the profit includes 2 parts

1. price change of stock and opt

2. interest lost by initial investment

for 1, 100 * 10 (stock) + 200 * (C(t) - C(0)) + 300 * (P(t) - P(0))

for 2, the initial investment is [C(0) * 200 + 300 * P(0)]*exp{rt}

1 - 2 = the profit = 771