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题目 A call option with a price of $3.52 has a vega of 18.50. If the volatility increases from 20.0% to 26.0% per annum, what is the estimated price of the option under the higher volatility? [...]

题目 The current price of a stock is $25. A call option is available with a $20 strike price that expires in three months. If the underlying stock exhibits an annual standard deviation of 25%, the [...]

题目 A financial institution has the following portfolio of over-the-counter options on sterling A traded option is available with a delta of 0.6, a gamma of 1.5, a vega of 0.8.What position in the [...]

题目 Which of the following choices will effectively hedge a short call option position that exhibits a delta of 0.5? 选项 A.Sell two shares of the underlying for each option sold. B.Buy two [...]

题目 How can a trader produce a short vega, long gamma position? 选项 A.Buy short-maturity options, sell long-maturity options. B.Buy long-maturity options, sell short-maturity options. C.Buy and [...]

题目 Portfolio manager Sally has a position in 100 option contracts with the following position greeks: theta = +25,000; vega = +330,000 and gamma = -200; ie., positive theta, positive vega and [...]

题目 Each of the following is true about option gamma, EXCEPT which is false? 选项 A.For a short-life option, as expiration approaches (i.e., as maturity decreases to zero), the gamma of both [...]

题目 A stock with a (continuous) dividend yield of 1.0% has a current price of $30 and volatility of 22%. We use a two-step binomial model to value a two-year European style call option on the [...]

题目 Yesterday, a market maker sold (wrote) 100 at-the-money (ATM) call options when the percentage delta was 0.57. The market maker immediately started a daily dynamic delta hedge by purchasing [...]

题目 An at-the-money call option has a (percentage) delta of 0.600 and gamma of 0.030. A market maker writes (sells) 100 call options, but only after the stock price unexpectedly jumps $2.00, so [...]