The following information relates to Question 9 You are currently heavily invested in Remgro Ltd.. You are of the belief

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The Following Information Relates To Question 9 You Are Currently Heavily Invested In Remgro Ltd You Are Of The Belief 1 (124.49 KiB) Viewed 85 times

The following information relates to Question 9 You are currently heavily invested in Remgro Ltd.. You are of the belief that Remgro Ltd. is not expected to increase dramatically over the next 4 months and you are interested in using a covered call strategy to take advantage of the limited upside and a achieve an increase your overall portfolios return. Use the information in the table below as well as the tables at the end of the paper to answer Question 9. Share Price Today Exercise Price Risk Free Rate Dividend Yield Variance Months until Expiration R3547.32 R3750 5% 3.5% 0.111 8 Question 9 Using the information provided above, calculate the value of the out-the-money call option using the Black-Scholes option pricing model. A) The values using the exact values and table method values are: 308.2323 and 305.2678 respectively B) The values using the exact values and table method values are: 300.5265 and 297.6361 respectively C) The values using the exact values and table method values are: 286.656 and 283.8991 respectively D) The values using the exact values and table method values are: 356.0083 and 352.5843 respectively E) The values using the exact values and table method values are: 258.9151 and 256.425 respectively Question 10 If you are an active manager, you believe which of the following are false: A) You can add value through stock selection over and above the additional management fees B) Markets are inefficient C) You can exploit mis-pricings through research D) You cannot time the market E) You can identify cheap/undervalued shares