爱考云 - 搜题找答案神器_海量试题解析在线查

题目 Hull (equation 17.4) shows that the relationship between theta, delta and gamma is given by: theta + (Rf × S × delta) + (0.5×variance(S)×S^2×gamma) = Rf×Value(option portfolio), where [...]

题目 What is the risk-neutral probability of an up movement （　） in a two-step binomial model used to value an two-year American-style put option on a stock with a volatility of 38% when the [...]

题目 Which of the following Greeks contributes most to the risk of an option that is close to expiration and deep in the money? 选项 A.Vega B.Rho C.Gamma D.Delta 答案 D 解析 Delta measures [...]

题目 A market maker writes 100 at-the-money call option contracts and delta hedges dynamically by daily rebalancing of a long position in the underlying shares. The delta hedge is based on an [...]

题目 Which of the following IBM options has the highest gamma with the current market price of IBM common stock at USD 68? 选项 A.Call option expiring in 10 days with strike USD 70 B.Call option [...]

题目 Which type of option experiences accelerating time decay as expiration approaches in an unchanged market? 选项 A.In-the-money B.Out-of-the-money C.At-the-money D.None of the above 答案 C [...]

题目 If risk is defined as a potential for unexpected loss, which factors contribute to the risk of a short call option position? 选项 A.Delta, Vega, Rho B.Vega, Rho C.Delta, Vega, Gamma, Rho [...]

题目 In the absence of dividends, Hull shows that an American-style call option should never be exercised early. However, if the American-style call option instead does pay dividends, which of the [...]

题目 The spot EUR/USD exchange rate is $1.30 (i.e., USD 1.30 per 1 EUR) with a volatility of 30% per annum. The USD riskless rate is 4% per annum and the EUR riskless rate is 3% per annum. What is [...]

题目 Which of the following statements is correct about the early exercise of American options? 选项 A.It is always optimal to exercise an American call option on a non-dividend-paying stock [...]