题目 Which of the following statements is false? 选项 A.European-styled call and put options are most affected by changes in vega when they are at-the-money. B.The delta of a European-styled put [...]
题目 Martha used a three-step binomial model to value a (long-term) put option with three years to maturity; i.e., each time step is one year. While the risk-free rate is 4.0%, the underlying [...]
题目 Assume 250 trading days in the year. When the underlying stock has a volatility of 50.0% per annum and the risk-free rate is 4.0%, an at-the-money (ATM) European call option, with a strike [...]
题目 The dividend yield of an asset is 10% per annum. What is the delta of a long forward contract on the asset with 6-month to maturity? 选项 A.0.95 B.1.00 C.1.05 D.Cannot be determined without [...]
题目 Each of the following is an underlying assumption of the Black-Scholes option pricing model EXCEPT: 选项 A.There are no transactions costs or taxes. All securities are perfectly divisible. [...]
题目 The risk-free rate is 3.0% per annum while the price of a non-dividend-paying stock is $120.00. For a European call option with a strike price of $100.00 and one year maturity, the [...]
题目 Which of the following portfolios would have the highest vega assuming all options involved are of the same strikes and maturities? 选项 A.Long a call B.Short a put C.Long a put and long a [...]
题目 Suppose a financial institution has a portfolio that contains the following four positions in options on a stock: I. A long position in 20,000 call options and the delta of each of these [...]
题目 An analyst is doing a study on the effect on option prices of changes in the price of the underlying asset. The analyst wants to find out when the deltas of calls and puts are most sensitive [...]
题目 You are given the following information about a call option: Time to maturity = 2 years Continuous risk-free rate = 4% Continuous dividend yield = 1% N(d1) = 0.64 Calculate the delta of this [...]
