Suppose a trader buys a call and shorts a put with the strike price and expiration. What must happen in the future?

Challenge Consider an option trader than wants to avoid time decay. So, they want to find an option position that neither suffers from time decay nor appreciate over time. They limited their search for a position in an option that is 10% in-the-money (so, K = 0.9*St or 1.1*St, depending on the type of option). Assume the BSOPM is a correct model of the stock’s price evolution. If the risk-free rate is currently 5.00 percent per year, continuously compounded, and the trader is only interested in options that have 126 days until expiration, what must annualized volatility of the underlying’s log-returns be to meet all the parameters of their trade? Enter your answer as a percentage, rounded to the nearest 0.01%. For example, for 0.12345, enter, 12.35.  

Challenge When considering the option greeks, we saw that, while the BSOPM had explicit formulas for all of the greeks, the BINOM only had a formula for one: the delta. In this challenge, we will compare the two and see that the BINOM approximation for shorter expirations is actually quite similar to the BSOPM delta! Myron and Stephen are each pricing a three-day option. Myron uses the BSOPM while Stephen uses a three-period BINOM with the CRR solutions (see equation sheet). They agree that annualized volatility of the stock’s log returns 60 percent for a stock whose spot price is $36.50. The current annualized continuously compounded risk-free rate is 5 percent. What is the percentage difference between Myron’s (BSOPM) delta estimate and Stephen’s (BINOM) delta estimate for the $37-strike put? Enter your answers as a percentage, rounded to the nearest 0.001%. For example, for 0.123456, enter 12.346. Enter your answer as a positive number.

Challenge Consider an option trader than wants to avoid time decay. So, they want to find an option position that neither suffers from time decay nor appreciate over time. They limited their search for a position in an option that is 10% in-the-money (so, K = 0.9*St or 1.1*St, depending on the type of option). Assume the BSOPM is a correct model of the stock’s price evolution. If the risk-free rate is currently 7.00 percent per year, continuously compounded, and the trader is only interested in options that have 126 days until expiration, what must annualized volatility of the underlying’s log-returns be to meet all the parameters of their trade? Enter your answer as a percentage, rounded to the nearest 0.01%. For example, for 0.12345, enter, 12.35.  

If a trader reassesses the volatility of the underlying to be higher, how would they adjust their binomial model parameters (assuming all others stay the same)?

When preparing a manuscript for submission to a scientific journal, we can choose the reference formatting style we prefer.

Journal of Animal Science uses Author-date citations. Which of the following does not meet the requirement?

According to the Journal of Animal Science, which of the following keywords meet the requirement?   

A patient’s vital signs are as follows: heart rate, 95; blood pressure, 120/75; temperature, 99.2º F. This information is considered:

(3 points for the correct answer. 1 bonus point if you have correctly answered Questions 1 through 5.) A survey was conducted in a class of 50 students regarding the math and computer science courses they had taken prior to the current class. The results are as follows: (1) 30 students took Precalculus, (2) 18 students took Calculus, (3) 26 students took Data Mining, (4) 9 students took both Precalculus and Calculus, (5) 16 students took both Precalculus and Data Mining, (6) 47 students took at least one of the three courses, (7) 6 students took all three courses. How many students took both Calculus and Data mining? Hint: Consider the inclusion/exclusion rule for three sets: If A, B and C are any finite sets, then