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MMLU-Pro / 640 / For an American perpetual option within the Black-Scholes framework, you are…

Problem

Answer published by the source. Consult the official source to check your work against its answer.

question

For an American perpetual option within the Black-Scholes framework, you are given: (i) h1+h2h_1 + h_2 = 7/9 (ii) The continuously compounded risk-free interest rate is 5%. (iii) σ = 0.30. What is the value of h1h_1?
Plain-text mathematical notation (without MathML)
For an American perpetual option within the Black-Scholes framework, you are given: (i) h₁+h₂ = 7/9 (ii) The continuously compounded risk-free interest rate is 5%. (iii) σ = 0.30. What is the value of h₁?
Original LaTeX notation
For an American perpetual option within the Black-Scholes framework, you are given: (i) $h_1 + h_2$ = 7/9 (ii) The continuously compounded risk-free interest rate is 5%. (iii) σ = 0.30. What is the value of $h_1$?

category

business

options

  1. 0.50
  2. 2.00
  3. 1.75
  4. 1.40
  5. 0.75
  6. 1.10
  7. 1.51
  8. 1.25
  9. 2.50
  10. 1.00

src

theoremQA-Finance

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Source and history

upstream_id / Original problem ID
640
task_id
b25d0648-c7dd-5a10-83c0-9f4c7809dfe8
task_key
default--test--640
task_revision_id
1
config / split
default / test

Official source

initial import