题目 If risk is defined as a potential for unexpected loss, which factors contribute to the risk of a short call option position? 选项 A.Delta, Vega, Rho B.Vega, Rho C.Delta, Vega, Gamma, Rho [...]
题目 In the absence of dividends, Hull shows that an American-style call option should never be exercised early. However, if the American-style call option instead does pay dividends, which of the [...]
题目 The spot EUR/USD exchange rate is $1.30 (i.e., USD 1.30 per 1 EUR) with a volatility of 30% per annum. The USD riskless rate is 4% per annum and the EUR riskless rate is 3% per annum. What is [...]
题目 Which of the following statements is correct about the early exercise of American options? 选项 A.It is always optimal to exercise an American call option on a non-dividend-paying stock [...]
题目 Consider a convertible bond that is trading at a conversion premium of 20 percent. If the value of the underlying stock rises by 25 percent, the value of the bond will: 选项 A.Rise by less [...]
题目 The current price of a stock is $10, and it is known that at the end of three (3) months the stock's price will be either $13 or $7. The risk-free rate is 4% per annum. What is the implied no [...]
题目 What is the reason for undertaking a vega hedging? To minimize the: 选项 A.possibility of counterparty default risk. B.potential loss as a result of a change in the volatility of the [...]
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 negative [...]
题目 A trader has an American put option with strike price of $50. The underlying asset is stock with a spot price of $40. Using an one-step binomial tree to evaluate the option. Suppose the stock [...]
题目 The current price of a non-dividend paying stock is $75. The annual volatility of the stock is 18.25%, and the current continuously compounded risk-free interest rate is 5%. A 3-year European [...]
