爱考云 - 搜题找答案神器_海量试题解析在线查

题目 Consider a European call option on a non-dividend-paying stock. The strike price is $80.00 while the stock price is currently $90.00. Barbara the Risk Analyst employs a two-step (i.e., three [...]

题目 A European call option has a (percentage) delta of 0.580. A trader creates a straddle by purchasing 1,000 of the call options and 1,000 put options with identical strike and maturity. However, [...]

题目 Robert the Trader has already written 1,000 call options with (percentage) delta of 0.670 and gamma of 0.090 such that his position delta is -670.0 and his position gamma is -90.0. He can buy [...]

题目 Which of the following statements about option time value is true? 选项 A.Deeply out-of-the-money options have more time value than at-the-money options with the same remaining time to [...]

题目 A market maker writes (sells) a contract of 100 call options, where the percentage (per option) delta of the call options is 0.60 and the gamma is 0.080. The market maker wants to neutralize [...]

题目 An investor is looking to create an options portfolio on XYZ stock that will have virtually zero vega exposure while maximizing the ability to profit from increases in interest rates. If the [...]

题目 Patty and Peter are risk analysts who are attempting to utilize the Black-Scholes-Merton option pricing model (BSM OPM) in order to price a call option on a publicly-traded stock. Their BSM [...]

题目 Which of the following statements is true regarding options Greeks? 选项 A.Theta tends to be large and positive when buying at-the-money options. B.Gamma is greatest for in-the-money options [...]

题目 A one-year European call option has a strike price of $10. The risk-free rate is 4% per annum. What is an estimate of the call price if the stock is $30; i.e., significantly in-the-money? [...]

题目 Patricia has a short position in 100 put option contracts where the per-option (aka, percentage) vega is 33.50 and the stock's volatility is 30.0% per annum. The value of each option is $8.77 [...]