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MMLU-Pro / 579 / Your company has just written one million units of a one-year European…

Problem

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question

Your company has just written one million units of a one-year European asset-or-nothing put option on an equity index fund. The equity index fund is currently trading at 1000. It pays dividends continuously at a rate proportional to its price; the dividend yield is 2%. It has a volatility of 20%. The option’s payoff will be made only if the equity index fund is down by more than 40% at the end of one year. The continuously compounded risk-free interest rate is 2.5% Using the Black-Scholes model, determine the price of the asset-or-nothing put options. Give the answer in millions.

category

business

options

  1. 7.5
  2. 5.2
  3. 3.6
  4. 2.2
  5. 2.5
  6. 4.1
  7. 4.7
  8. 5.9
  9. 1.9
  10. 6.8

src

theoremQA-Finance

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Source and history

upstream_id / Original problem ID
579
task_id
083829b2-4a56-55f3-bb5f-ef8586c8c201
task_key
default--test--579
task_revision_id
1
config / split
default / test

Official source

initial import