题目 Twelve days ago (T-12 days), a European call option with a price of $4.80 had a theta of - 6.30 per year. Between then and today (T0), no stochastic option inputs have changed; i.e., stock [...]
题目 The spot price of oil is $80.00 per barrel with a volatility of 26% per annum. The risk-free rate is 5.0% per annum. What is the delta of a one-year futures contract when the one-year futures [...]
题目 Consider a six-month at-the-money (ATM) European call option on a non-dividend-paying stock with a current price of $80.00. Peter the Risk Analyst has employed a two-step (i.e., three months [...]
题目 A non-dividend-paying stock has a current price of $10 and a volatility of 12% per annum. The risk-free rate is 4.0%. We use a twelve-step binomial model to value a one-year European-style put [...]
题目 The current price of a stock is $25. A put option with a $20 strike price that expires in six months is available. N(d1)=0.9737 and N(d2)=0.9651. If the underlying stock exhibits an annual [...]
题目 An equity options trader is short a call option of a stock with strike at $104. The maturity of the option is within half an hour and the current price is $103.75. Which of the following [...]
题目 A portfolio of short calls and short puts is delta-neutral and the options are, on average, at-the-money (ATM) with near-term maturities. Which of the following is most likely true about the [...]
题目 In sequence FROM LOWEST to highest value of option delta, what is the correct order of the following four options: in-the-money (ITM) call option, out-of-the-money (OTM) call option, [...]
题目 Call and put option values are most sensitive to changes in the volatility of the underlying when: 选项 A.Both calls and puts are deep in-the-money. B.Both puts and calls are deep [...]
题目 An options dealer sells equity call options. When sold, the options are at-the-money and the firm will be delta-neutral hedged. Which of the following statements is correct? I The options [...]
