爱考云 - 搜题找答案神器_海量试题解析在线查

题目 A European call option has a (percentage) delta of 0.580. A trader creates a straddle by purchasing 1,000 of the call options and 1,000 put options with identical strike and maturity. However, [...]

题目 An investor is looking to create an options portfolio on XYZ stock that will have virtually zero vega exposure while maximizing the ability to profit from increases in interest rates. If the [...]

题目 Hull (equation 17.4) shows that the relationship between theta, delta and gamma is given by: theta + (Rf × S × delta) + (0.5×variance(S)×S^2×gamma) = Rf×Value(option portfolio), where [...]

题目 What is the risk-neutral probability of an up movement （　） in a two-step binomial model used to value an two-year American-style put option on a stock with a volatility of 38% when the [...]

题目 Which of the following statements is correct about the early exercise of American options? 选项 A.It is always optimal to exercise an American call option on a non-dividend-paying stock [...]

题目 What is the reason for undertaking a vega hedging? To minimize the: 选项 A.possibility of counterparty default risk. B.potential loss as a result of a change in the volatility of the [...]

题目 In evaluating the dynamic delta hedging of a portfolio of short option position, which of the following is correct? 选项 A.The interest cost of carrying the delta hedge will be highest when [...]

题目 Mr. Black has been asked by a client to write a large put option on the S&P 500 index. The option has an exercise price and a maturity that is not available for options traded on [...]

题目 Consider a non-dividend paying stock currently priced at $37. Assuming that the price of the stock will rise or fall by 5% every three months. The continuously compounded risk free rate is 7%. [...]

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 [...]