THE CURRENT STOCK PRICE OF A COMPANY IS USD 80. A RISK MANAGER IS...
13.
The current stock price of a company is USD 80. A risk manager is monitoring call and put options on the
stock with exercise prices of USD 50 and 5 days to maturity. Which of these scenarios is most likely to occur
if the stock price falls by USD 1?
Scenario
Call Value
Put Value
A
Decrease by USD 0.94
Increase by USD 0.08
B
Decrease by USD 0.94
Increase by USD 0.89
C
Decrease by USD 0.07
Increase by USD 0.89
D
Decrease by USD 0.07
Increase by USD 0.08
a.
Scenario A
b.
Scenario B
c.
Scenario C
d.
Scenario D
2015 Financial Risk Manager (FRM®) Practice Exam