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题目 Steve, a market risk manager at Marcat Securities, is analyzing the risk of its S&P 500 index options trading desk. His risk report shows the desk is net long gamma and short vega. Which [...]

题目 Ms. Zheng is responsible for the options desk in a London bank. She is concerned about the impact of dividends on the options held by the options desk. She asks you to assess which options are [...]

题目 Each of the following is an underlying assumption of the basic Black-Scholes option pricing model EXCEPT: 选项 A.The stock price follows a geometric Brownian motion (GBM) which is a [...]

题目 What is, respectively, the delta of an at-the-money (ATM) six-month European call and put option on a non-dividend-paying stock when the riskless rate is 4.0% per annum and the stock price [...]

题目 A European call option has a time to maturity of six months on a stock with a 2% dividend yield. The current stock and strike prices are both $50. The volatility of the stock is 18% per annum. [...]

题目 As an in-the-money option approaches expiration, the rate of decay of its value: 选项 A.rises B.falls C.stays constant D.becomes volatile 答案 A 解析 As an option approaches its [...]

题目 Twelve days ago (T-12 days), a European call option with a price of $4.80 had a theta of - 6.30 per year. Between then and today (T0), no stochastic option inputs have changed; i.e., stock [...]

题目 The spot price of oil is $80.00 per barrel with a volatility of 26% per annum. The risk-free rate is 5.0% per annum. What is the delta of a one-year futures contract when the one-year futures [...]

题目 Consider a six-month at-the-money (ATM) European call option on a non-dividend-paying stock with a current price of $80.00. Peter the Risk Analyst has employed a two-step (i.e., three months [...]

题目 A non-dividend-paying stock has a current price of $10 and a volatility of 12% per annum. The risk-free rate is 4.0%. We use a twelve-step binomial model to value a one-year European-style put [...]