题目 The current price of the S&P 500 Index is 1200. The one-year futures price is 1262; i.e., +5% continuously compounded. The volatility of the index is 18% per annum and the dividend yield [...]
题目 Consider the following call option which is re-priced after a mild + 3.0% shock to its volatility. In both cases, the stock = strike = $50 (i.e., at an-the-money call option), the risk-free [...]
题目 A company's stock price is $100.00 and 50.0 million shares are outstanding, so that its equity market capitalization is $5.0 billion. The company is considering granting 2.0 million [...]
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 Steve, a market risk manager at Marcat Securities, is analyzing the risk of its S&P 500 index options trading desk. His risk report shows the desk is net long gamma and short vega. Which [...]
题目 Ms. Zheng is responsible for the options desk in a London bank. She is concerned about the impact of dividends on the options held by the options desk. She asks you to assess which options are [...]
题目 Each of the following is an underlying assumption of the basic Black-Scholes option pricing model EXCEPT: 选项 A.The stock price follows a geometric Brownian motion (GBM) which is a [...]
题目 What is, respectively, the delta of an at-the-money (ATM) six-month European call and put option on a non-dividend-paying stock when the riskless rate is 4.0% per annum and the stock price [...]
题目 A European call option has a time to maturity of six months on a stock with a 2% dividend yield. The current stock and strike prices are both $50. The volatility of the stock is 18% per annum. [...]
题目 As an in-the-money option approaches expiration, the rate of decay of its value: 选项 A.rises B.falls C.stays constant D.becomes volatile 答案 A 解析 As an option approaches its [...]
