爱考云 - 搜题找答案神器_海量试题解析在线查

题目 Each of the following is an underlying assumption of the Black-Scholes option pricing model EXCEPT: 选项 A.There are no transactions costs or taxes. All securities are perfectly divisible. [...]

题目 The risk-free rate is 3.0% per annum while the price of a non-dividend-paying stock is $120.00. For a European call option with a strike price of $100.00 and one year maturity, the [...]

题目 Which of the following portfolios would have the highest vega assuming all options involved are of the same strikes and maturities? 选项 A.Long a call B.Short a put C.Long a put and long a [...]

题目 Suppose a financial institution has a portfolio that contains the following four positions in options on a stock: I. A long position in 20,000 call options and the delta of each of these [...]

题目 An analyst is doing a study on the effect on option prices of changes in the price of the underlying asset. The analyst wants to find out when the deltas of calls and puts are most sensitive [...]

题目 You are given the following information about a call option: Time to maturity = 2 years Continuous risk-free rate = 4% Continuous dividend yield = 1% N(d1) = 0.64 Calculate the delta of this [...]

题目 The current price of the S&P 500 Index is 1200. The one-year futures price is 1262; i.e., +5% continuously compounded. The volatility of the index is 18% per annum and the dividend yield [...]

题目 Consider the following call option which is re-priced after a mild + 3.0% shock to its volatility. In both cases, the stock = strike = $50 (i.e., at an-the-money call option), the risk-free [...]

题目 A company's stock price is $100.00 and 50.0 million shares are outstanding, so that its equity market capitalization is $5.0 billion. The company is considering granting 2.0 million [...]

题目 An analyst is doing a study on the effect on option prices of changes in the price of the underlying asset. The analyst wants to find out when the deltas of calls and puts are most sensitive [...]