爱考云 - 搜题找答案神器_海量试题解析在线查

题目 Which of the following is not an assumption of the Black-Scholes options pricing model? 选项 A.The price of the underlying moves in a continuous fashion. B.The interest rate changes randomly [...]

题目 A stock currently trades at $10. At the end of three months, the stock will either be $11 or $9. The continuously compounded risk-free rate of interest is 3.5% per year. The value of a 3-month [...]

题目 Which position is most risky? 选项 A.Gamma-negative, delta-neutral B.Gamma-positive, delta-positive C.Gamma-negative, delta-positive D.Gamma-positive, delta-neutral 答案 C 解析 A riskier [...]

题目 According to the Black-Scholes-Merton model for evaluating European options on non-dividend paying stock, which option sensitivity (Greek) would be identical for both a call and a put option, [...]

题目 The domestic U.S. (USD) risk-free interest rate is 1.0% per annum and the foreign Eurozone (EUR) risk-free interest rate is 2.0% per annum. The EUR/USD exchange rate has a volatility of 28%. [...]

题目 A stock price is USD 50 with a volatility of 22%. The risk free rate is 3%. Use the Black-Scholes-Merton formula to value (a) a European call option and (b) a European put option when the [...]

题目 Which of the following statements is false? 选项 A.European-styled call and put options are most affected by changes in vega when they are at-the-money. B.The delta of a European-styled put [...]

题目 Martha used a three-step binomial model to value a (long-term) put option with three years to maturity; i.e., each time step is one year. While the risk-free rate is 4.0%, the underlying [...]

题目 Assume 250 trading days in the year. When the underlying stock has a volatility of 50.0% per annum and the risk-free rate is 4.0%, an at-the-money (ATM) European call option, with a strike [...]

题目 The dividend yield of an asset is 10% per annum. What is the delta of a long forward contract on the asset with 6-month to maturity? 选项 A.0.95 B.1.00 C.1.05 D.Cannot be determined without [...]