爱考云 - 搜题找答案神器_海量试题解析在线查

题目 A portfolio of stock A and options on stock A is currently delta neutral, but has a positive gamma. Which of the following actions will make the portfolio both delta and gamma neutral? 选项 [...]

题目 If it is necessary to be long 2,500 deep-in-the-money call options in order to create a gamma neutral position, which of the following actions would best restore the original delta-neutral [...]

题目 A trader buys an at-the-money call option with the intention of delta-hedging it to maturity. Which one of the following is likely to be the most profitable over the life of the option? 选项 [...]

题目 Consider a non-dividend paying stock currently priced at $37. Assuming that the price of the stock will rise or fall by 5% every three months. The continuously compounded risk free rate is 7%. [...]

题目 Suppose an existing short option position is delta-neutral, but has a gamma of negative 600. Also assume that there exists a traded option with a delta of 0.75 and a gamma of 1.50. In order to [...]

题目 A portfolio has the following position Greeks: delta = -300, gamma = -150, and vega = - 3,000. A trader wants to neutralize all three Greeks and, in addition to the underlying shares, can use [...]

题目 A six-month European put option on a non-dividend-paying stock has a strike price of $100 when the current stock price is $100. The risk free rate is 4%. N(d1) = 0.57 and N(d2) = 0.48. What is [...]

题目 A market maker is trading the following three (3) positions in call and put options which are identical with respect to their underlying stock price, the strike price and the maturities: long [...]

题目 For purposes of option valuation, how is "dividend" defined? 选项 A.The increase in the stock price on the ex-dividend date arising from any dividends declared B.The reduction in the stock [...]

题目 A stock with a current price of $32 and volatility of 15% pays a dividend of 2.0% per annum (with continuous compounding). The riskless rate is 2.0%. We use a twelve-step binomial model to [...]