题目 A six-month European put option on a non-dividend-paying stock has a strike price of $100 when the current stock price is $100. The risk free rate is 4%. N(d1) = 0.57 and N(d2) = 0.48. What is [...]
题目 A market maker is trading the following three (3) positions in call and put options which are identical with respect to their underlying stock price, the strike price and the maturities: long [...]
题目 For purposes of option valuation, how is "dividend" defined? 选项 A.The increase in the stock price on the ex-dividend date arising from any dividends declared B.The reduction in the stock [...]
题目 A stock with a current price of $32 and volatility of 15% pays a dividend of 2.0% per annum (with continuous compounding). The riskless rate is 2.0%. We use a twelve-step binomial model to [...]
题目 Which of the following is not an assumption of the Black-Scholes options pricing model? 选项 A.The price of the underlying moves in a continuous fashion. B.The interest rate changes randomly [...]
题目 A stock currently trades at $10. At the end of three months, the stock will either be $11 or $9. The continuously compounded risk-free rate of interest is 3.5% per year. The value of a 3-month [...]
题目 Which position is most risky? 选项 A.Gamma-negative, delta-neutral B.Gamma-positive, delta-positive C.Gamma-negative, delta-positive D.Gamma-positive, delta-neutral 答案 C 解析 A riskier [...]
题目 According to the Black-Scholes-Merton model for evaluating European options on non-dividend paying stock, which option sensitivity (Greek) would be identical for both a call and a put option, [...]
题目 The domestic U.S. (USD) risk-free interest rate is 1.0% per annum and the foreign Eurozone (EUR) risk-free interest rate is 2.0% per annum. The EUR/USD exchange rate has a volatility of 28%. [...]
题目 A stock price is USD 50 with a volatility of 22%. The risk free rate is 3%. Use the Black-Scholes-Merton formula to value (a) a European call option and (b) a European put option when the [...]
