题目 Patty and Peter are risk analysts who are attempting to utilize the Black-Scholes-Merton option pricing model (BSM OPM) in order to price a call option on a publicly-traded stock. Their BSM [...]
题目 Which of the following statements is true regarding options Greeks? 选项 A.Theta tends to be large and positive when buying at-the-money options. B.Gamma is greatest for in-the-money options [...]
题目 A one-year European call option has a strike price of $10. The risk-free rate is 4% per annum. What is an estimate of the call price if the stock is $30; i.e., significantly in-the-money? [...]
题目 Patricia has a short position in 100 put option contracts where the per-option (aka, percentage) vega is 33.50 and the stock's volatility is 30.0% per annum. The value of each option is $8.77 [...]
题目 Hull (equation 17.4) shows that the relationship between theta, delta and gamma is given by: theta + (Rf × S × delta) + (0.5×variance(S)×S^2×gamma) = Rf×Value(option portfolio), where [...]
题目 What is the risk-neutral probability of an up movement （ ） in a two-step binomial model used to value an two-year American-style put option on a stock with a volatility of 38% when the [...]
题目 Which of the following Greeks contributes most to the risk of an option that is close to expiration and deep in the money? 选项 A.Vega B.Rho C.Gamma D.Delta 答案 D 解析 Delta measures [...]
题目 A market maker writes 100 at-the-money call option contracts and delta hedges dynamically by daily rebalancing of a long position in the underlying shares. The delta hedge is based on an [...]
题目 Which of the following IBM options has the highest gamma with the current market price of IBM common stock at USD 68? 选项 A.Call option expiring in 10 days with strike USD 70 B.Call option [...]
题目 Which type of option experiences accelerating time decay as expiration approaches in an unchanged market? 选项 A.In-the-money B.Out-of-the-money C.At-the-money D.None of the above 答案 C [...]
