Fight Finance

(a) $15,400,000.00

(b) $8,371,559.63

(c) $962,757.81

(d) $962,045.33

(e) $64,935.06

(a) ##V_0=\dfrac{C_t}{(1+r)^t} ##

(b) ##V_0=\dfrac{C_1}{r}.\left(1-\dfrac{1}{(1+r)^T} \right)= \sum\limits_{t=1}^T \left( \dfrac{C_t}{(1+r)^t} \right) ##

(c) ##V_0=\dfrac{C_1}{r-g}.\left(1-\left(\dfrac{1+g}{1+r}\right)^T \right)= \sum\limits_{t=1}^T \left( \dfrac{C_t.(1+g)^t}{(1+r)^t} \right) ##

(d) ##V_0=\dfrac{C_1}{r} = \sum\limits_{t=1}^\infty \left( \dfrac{C_t}{(1+r)^t} \right) ##

(e) ##V_0=\dfrac{C_1}{r-g} = \sum\limits_{t=1}^\infty \left( \dfrac{C_t.(1+g)^t}{(1+r)^t} \right) ##

(a) 3.4146%,   3.4146%,   0%.

(b) 3.4146%,   0.4878%,   0.4878%.

(c) 3.4146%,   0%,   3.4146%.

(d) 0.9878%,   0.5%,   0.4878%.

(e) 0.9756%,   0.4878%,   0.4878%.

(a) 0.6

(b) 0.319508

(c) 0.269705

(d) 0.245731

(e) 0.219755

Vietnamese people usually quote the Vietnamese Dong in VND per 1 USD. For example, in October 2015 the Vietnamese Dong was 22,300 VND per USD. Is this an or terms quote?

(a) The returns ##r_\text{t monthly}## are continuously compounded monthly returns and are likely to be normally distributed, so the mean, median and mode of these continuously compounded returns are all equal to 1% per month.

(b) The annualised average continuously compounded return is ##\bar{r}_\text{cc annual}=12×0.01=0.1=12\%\text{ pa}##. The annualised standard deviation is ##\sigma_\text{annual} = \sqrt{12}×0.05=0.173205081=17.32\%\text{ pa}##.

(c) Over the next 10 years the mean, median and mode continuously compounded 10 year returns will all equal ##0.01 \times 12 \times 10 = 120\%##.

(d) Over the next 10 years the expected mean gross discrete 10 year return is ##e^{(0.01 - 0.05^2/2)×12×10} = 2.857651118## and the median gross discrete 10 year return is ##e^{(0.01 + 0.05^2/2)×12×10}=3.857425531##.

(e) If the current price of the CBA shares is $75, then in 10 years they’re expected to have a mean value of ##75×e^{(0.01 + 0.05^2/2)×12×10} = 289.3069148## and a median value of ##75×e^{0.01×12×10}=249.0087692##.

(a) 374,885

(b) 453,483

(c) 500,000

(d) 527,541

(e) 666,873

(a) As time elapses, call option prices always fall.

(b) As time elapses, put option prices always fall.

(c) The long future always has a zero Gamma.

(d) The more in-the-money the long call option is, the higher (more positive) is its Delta.

(e) The more in-the-money the long put option is, the lower (more negative) is its Delta.

(a) Best day of the 5% worst days’ results.

(b) Worst day of the 5% worst days’ results.

(c) Best day of the 5% best days’ results.

(d) Worst day of the 5% best days’ results.

(e) Best day of the 95% worst days’ results.

(a) 226.43 points

(b) 220.56 points

(c) 176.21 points

(d) 162.83 points

(e) 128.92 points