MCQ for CA Final SFM - Chapter 5 Derivatives Analysis and Valuation
Sample Multiple Choice Questions (MCQ's) for CA Final - Paper 2 - Strategic Financial Management - Chapter 5: Derivatives Analysis and Valuation - For Practice relevant for May/Nov 23 Examinations
Q:1 The price of ACC stock on 31 December 2010 was`220 and the futures price on the same stock on the same date, i.e., 31 December 2010 for March 2011 was`230. Other features of the contract and related information are as follows:
Time to expiration- 3 months (0.25 year)
Borrowing rate- 15% p.a.
Annual Dividend on the stock- 25% payable before 31.03. 2011
Face Value of the Stock- `10
Calculate the futures price for ACC stock on 31 December 2010
- 225.85
- 225.60
- 225.75
- 227.75
Answer: 3
Q:2 Consider a 4-month forward contract on 500 shares with each share priced at`75. Dividend @` 2.50 per share is expected to accrue to the shares in a period of 3 months. The CCRRI is 10% p.a.
Calculate Value of forward contract
- 38798.15
- 37498.11
- 37480.51
- 35698.11
Answer: 2
Q:3 Consider the following:
Current value of index- `1400
Dividend yield- 6%
CCRRI- 10%
To find the value of a 3 month forward contract.
- 1414.07
- 1413.88
- 1415.90
- 1550.35
Answer: 1
Q:4 The 6-months forward price of a security is`208.18. The borrowing rate is 8% per annum payable with monthly rests. What should be the spot price?
- 180
- 200
- 210
- 260
Answer: 2
Q:5 Calculate the price of 3 months PQR futures, if PQR (FV`10) quotes`220 on NSE and the three months future price quotes at`230 and the one month borrowing rate is given as 15 percent per annum and the expected annual dividend is 25 percent, payable before expiry.
- 225.55
- 227.25
- 225.75
- 220.75
Answer: 3
Q:6 Sumana wanted to buy shares of ElL which has a range of`411 to`592 a month later. The present price per share is`421. Her broker informs her that the price of this share can sore up to`522 within a month or so, so that she should buy a one-month CALL of ElL. In order to be prudent in buying the call, the share price should be more than or at least`522 the assurance of which could not be given by her broker.
Though she understands the uncertainty of the market, she wants to know the probability of attaining the share price`592 so that buying of a one-month CALL of EIL at the execution price of`522 is justified. Take the risk-free interest to be 3.60% and e0.036 = 1.037.
- Probability of rise in price 0.4118
- Probability of rise in price 0.1418
- Probability of fall in price 0.1418
- Probability of fall in price 0.4118
Answer: 2
Q:6 The current market price of an equity share of Penchant Ltd is`r420. Within a period of 3 months, the maximum and minimum price of it is expected to be`500 and`400 respectively.
If the risk free rate of interest be 8% p.a., what should be the value of a 3 months Call option under the “Risk Neutral” method at the strike rate of`450?
Given e0.02= 1.0202
- 11.46
- 12.76
- 13.96
- 13.56
Answer: 3
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