![]() |
|
|
|||||||
| FlashChat | Actuarial Discussion | Preliminary Exams | CAS/SOA Exams | Cyberchat | Around the World | Suggestions |
![]() |
|
|
Thread Tools | Display Modes |
|
#1
|
||||
|
||||
|
Question 31 from the released 2009 exam. Basically, calculate the delta (capital delta) of 4 different calls. Sure, you have to go through calculating four d1's, but thats just the black sholes formula and then crunchfest with the ti-30 multiview. yeah, I get multiple views with my calculator.
__________________
|
|
#5
|
||||
|
||||
|
there's one part where you get a d1 of -1.64822 and you stop and say, woahhhh am I sure this is right? and then you go check again or look at the answer and say oh ok it is right. But them you plug it into the MFE calculator that you have to go searching for, and that gives you .04965 and the delta and you almost want to say wait the last delta I got was .56946 What's going on here?
But don't worry when that happens because it's right.
__________________
|
|
#6
|
||||
|
||||
|
you have to remember what a 5060 bull spread means, although I sort of just reasoned through it if you know that a spread means all calls or all puts. Man, I bet you would get that question wrong on the real exam. You would probably pick answer choice A or something
__________________
|
|
#7
|
||||
|
||||
|
Questions on put-call parity.
|
|
#8
|
||||
|
||||
|
Question 40.
|
|
#9
|
|||
|
|||
|
Anything, I'm ready for it all!
__________________
|
|
#10
|
||||
|
||||
|
anything BUT currency options is probably fine...
__________________
|
![]() |
| Thread Tools | |
| Display Modes | |
|
|