LOL Ltd has a current share price of $52. A put option written on LOL, which has a strike price has $55 and 8 months to expiry, is trading at $5.34.

If the riskfree rate of interest is 7% pa (continuously compounded), what is the correct price for a call option on LOL with $55 strike price and 8 months to expiry?

Do not enter the dollar sign "$" in your answer. Your answer should have at least two decimal places.

An option has strike price of $22 and 9 months to expiry.

The current price of the underlying share is $33 and its volatility (sigma) is 40%.

The riskfree rate of interest is 6% per annum.

Calculate d1 for this option.    [your answer should have at least 2 decimal places]

You could answer this question using your intuition for option pricing. 

When volatility of the underlying stock increases (with all else remaining the same), which of the following is true?  

An option-trading strategy has a gross payoff that is depicted by the purple line in the diagram below.

Which of the following describes the component legs of this option-trading strategy?

This question can be answered by using your intuition.

The S&P/ASX200 market index is currently 6800. You predict that the market will rise substantially in coming weeks and are prepared to speculate on this prediction.

You enter 40 long call options written on the S&P/ASX200 index. The options have a strike price of 7100.

On the expiry date of these options, the S&P/ASX200 index sits at 7500.

What is the gross payoff (in dollars) on your index option speculation?

Note that S&P/ASX200 index

options have a standard multiplier of $A10.  Do

You manage a share portfolio currently worth

$250m Australian dollars. The beta of this portfolio is 1.25.

Index put options trade on the S&P/ASX200

index with a strike price of 6900.

Calculate the

number of index put options required to fully hedge this share portfolio.

Note that S&P/ASX200 index

options have a standard multiplier of $A10. Round your answer to the

nearest whole number.

A trader enters a long futures contract on an asset when the futures price (F) is $2,600 per unit. Each contract covers 100 units of the underlying asset. The contract is closed out when the futures price (F) is $2,850. Which of the following is true.

You will receive $787 in 8 years time. If the discount rate is 13% per annum continuously compounded, what is the present value of this future cashflow?

Enter your answer with 2 decimal places. Do not enter the dollar sign "$".

You manage an equity portfolio currently worth $49m. The beta of this portfolio is 1.32. If the SPI200 futures contract is quoted at F=6057, how many short SPI200 contracts are required to fully hedge this equity portfolio?

Round your answer to the nearest whole number.

$436 is invested for a period of 2 years with continuously-compounded interest of 3% per annum. How much will it grow to?

Enter your answer to 2 decimal places. Do not enter the dollar sign "$".