A 2-year long forward contract on a non-dividend-paying stock is

entered into when the stock price is $139 and the risk-free
interest rate is 10.3% per annum with continuous compounding.
1 year later, the price of the stock is $146 and the risk-free rate
is 9%. What is the value of the long forward contract?
On 6/5/2014, an investor buys 7 gold futures contracts, when the
futures price is $1,400 per ounce. The contract size is 100
ounces.
The next day, the futures price becomes $1,397.7. Calculate the
daily gain.

On January 8, 2016, a bank wants to lock in the 3-month interest

rate starting on June 20, 2017. Currently, 6/2017 Eurodollar
futures price is 94.93 and 9/2017 Eudollar futures price is 97.55.
What is the interest rate that the bank can lock in? (margin of
error: +/- 0.01%)
Which of the following is a false statement?
When one writes a put option, he is taking a short position of the put
option.
When options are exercised, the company does not issue new shares of
its own stock.
If one holds an American option, he can exercise the option at any time
before expiration.
Exercising an in-the-money option results in a profit.

An interest rate is 13.01% per annum expressed with continuous

compounding. What is the equivalent rate with semiannual

compounding? (margin of error: +/- 0.01%)
Calculate the present value of $100 in 7 years using 9.8% interest
rate with continuous compounding.
On July 1, an investor holds 50,000 shares of a certain stock. The
market price is $28 per share. The investor is interested in
hedging against movements in the market over the next month
and decides to use the September Mini S&P 500 futures contract.
The index futures price is 2,188 and one contract is for delivery of
$50 times the index. The beta of the stock is 1.2. How many
futures contract does he have to purchase? If it's a short position,
report a negative number.
It is April and a trader buys 100 September put options with a
strike price of $21. The stock price is $16.18 and the option price
is $4.35.
At the expiration, the stock price becomes $18.96. Calculate the
option profit to the trader.
A stock is expected to pay a dividend of $2.80 per share in 1
months and in 4 months. The current stock price is $58, and the
risk-free interest rate is 8% per annum with continuous
compounding for all maturities. An investor has just taken a long
position in a 5-month forward contract on the stock. Calculate the
forward price.
You entered into a short silver forward contract months ago,
where you agreed to sell 500 ounces of silver at $20 per ounce at
the end of the year. At maturity, the silver price becomes $16.98
per ounce. Calculate the payoff. If negative, report a minus
number.
The price of a stock is $25 and the price of a three-month call
option on the stock with a $27 strike is $2.50. Suppose a trader
has $2,500 to invest and is trying to choose between buying
1,000 options (10 contracts) or 100 shares of stock. How high

does the stock price have to rise for an investment in options to

be as profitable as an investment in the stock?
$
2
6
$
2
8
$
3
0
$
4
0

A company enters into a long futures contract to buy 200 ounces

of gold for $1,228 per ounce. The initial margin is $4,000 and the
maintenance margin is $1,000. What gold futures price per ounce
will trigger a margin call? (margin of error: +/- $1)
Suppose you manage a stock portfolio with a beta of 1.3. There is
no dividend yield and the risk-free rate is 3.4% per annum. In 4
months, the S&P500 index changes by 10%. Calculate the
expected return of your portfolio in 4 months.