爱考云 - 搜题找答案神器_海量试题解析在线查

题目 Consider a convertible bond that is trading at a conversion premium of 20 percent. If the value of the underlying stock rises by 25 percent, the value of the bond will: 选项 A.Rise by less [...]

题目 The current price of a stock is $10, and it is known that at the end of three (3) months the stock's price will be either $13 or $7. The risk-free rate is 4% per annum. What is the implied no [...]

题目 What is the reason for undertaking a vega hedging? To minimize the: 选项 A.possibility of counterparty default risk. B.potential loss as a result of a change in the volatility of the [...]

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 negative [...]

题目 A trader has an American put option with strike price of $50. The underlying asset is stock with a spot price of $40. Using an one-step binomial tree to evaluate the option. Suppose the stock [...]

题目 The current price of a non-dividend paying stock is $75. The annual volatility of the stock is 18.25%, and the current continuously compounded risk-free interest rate is 5%. A 3-year European [...]

题目 A delta-neutral option portfolio has a position gamma of +300. If call options have a (percentage) delta of 0.58 and gamma of 0.120, what trades will neutralize the delta and gamma of the [...]

题目 In evaluating the dynamic delta hedging of a portfolio of short option position, which of the following is correct? 选项 A.The interest cost of carrying the delta hedge will be highest when [...]

题目 Mr. Black has been asked by a client to write a large put option on the S&P 500 index. The option has an exercise price and a maturity that is not available for options traded on [...]

题目 A European put option on a non-dividend paying stock has a remaining life of 6 months with a strike of USD 50 and the risk-free rate of 1%, after 3 months which of the following stock prices [...]