爱考云 - 搜题找答案神器_海量试题解析在线查

题目 How can a trader produce a short vega, long gamma position? 选项 A.Buy short-maturity options, sell long-maturity options. B.Buy long-maturity options, sell short-maturity options. C.Buy and [...]

题目 Robert the Trader has already written 1,000 call options with (percentage) delta of 0.670 and gamma of 0.090 such that his position delta is -670.0 and his position gamma is -90.0. He can buy [...]

题目 Patricia has a short position in 100 put option contracts where the per-option (aka, percentage) vega is 33.50 and the stock's volatility is 30.0% per annum. The value of each option is $8.77 [...]

题目 A market maker writes 100 at-the-money call option contracts and delta hedges dynamically by daily rebalancing of a long position in the underlying shares. The delta hedge is based on an [...]

题目 Which of the following IBM options has the highest gamma with the current market price of IBM common stock at USD 68? 选项 A.Call option expiring in 10 days with strike USD 70 B.Call option [...]

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 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 Suppose an existing short option position is delta-neutral, but has a gamma of negative 600. Also assume that there exists a traded option with a delta of 0.75 and a gamma of 1.50. In order to [...]

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 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 [...]