TU Wien:Financial Management and Reporting VU (Aussenegg)/2025S

First part - Options

1. Calculation question: Option Valuation - European call option - Black-Scholes-Merton Model
2. Similiar question to 2021S 1-step Cox/Ross/Rubinstein:

Use a 1-step Cox/Ross/Rubinstein (1979) binomial model to value a call option on Siemens (current price of Siemens: €130) with a strike price of €120, a riskless interest rate of 0.0% p.a. (continuously compounded), a time to maturity of 0.5 years, and a volatility of Siemens returns of 35% p.a. The company is going to pay no dividends in the next 6 months.

• (a) The Cox/Ross/Rubinstein binomial model call option value is (using 3 decimal places (like 3.123);

Provide also the interim results of your option value calculation for the following parameters:

• (b) Up-step u for the underlying
• (c) Value of the underlying in the up-step
• (d) Value of the call option in the up-step
• (e) Pseudo-probability p for an increase in the price of the underlying

1. A call option has been bought at €5 (strike price = €20). At maturity the underlying has a price of €35. The percentage profit of the call option purchase is ... .
2. A question regarding "4 types of participants"

Second part - Hedge accounting
Open text questions - NOT all questions are single-choice questions

1. Definition of a derivative
2. Different types of hedge accounting + for each type hedging instrument & hedged item
3. Differents between Options and Forwards (or Futures?)
4. YES/NO-Questions: different hedging instruments with hedged item
5. Explain hedge effectiveness testing