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 [...]
题目 Which of the following statements is correct? I The rho of a call option changes with the passage of time and tends to approach zero as expiration approaches, but this is not true for the rho [...]
题目 Consider the following about a European call option with one year maturity and strike price of $100.00 while the stock's volatility is 30.0% per annum and the risk-free rate is 2.0%: When the [...]
题目 An options dealer sells equity call options. When sold, the options are at-the-money and the firm will be delta-neutral hedged. Which of the following statements is correct?I The options [...]
题目 A call option with a price of $3.52 has a vega of 18.50. If the volatility increases from 20.0% to 26.0% per annum, what is the estimated price of the option under the higher volatility? [...]
题目 The current price of a stock is $25. A call option is available with a $20 strike price that expires in three months. If the underlying stock exhibits an annual standard deviation of 25%, the [...]
题目 A financial institution has the following portfolio of over-the-counter options on sterling A traded option is available with a delta of 0.6, a gamma of 1.5, a vega of 0.8.What position in the [...]
题目 Which of the following choices will effectively hedge a short call option position that exhibits a delta of 0.5? 选项 A.Sell two shares of the underlying for each option sold. B.Buy two [...]
题目 How can a trader produce a short vega, long gamma position? 选项 A.Buy short-maturity options, sell long-maturity options. B.Buy long-maturity options, sell short-maturity options. C.Buy and [...]
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 [...]
