爱考云 - 搜题找答案神器_海量试题解析在线查

题目 Which of the following is not an assumption of the Black-Scholes options pricing model? 选项 A.The price of the underlying moves in a continuous fashion. B.The interest rate changes randomly [...]

题目 A stock currently trades at $10. At the end of three months, the stock will either be $11 or $9. The continuously compounded risk-free rate of interest is 3.5% per year. The value of a 3-month [...]

题目 According to the Black-Scholes-Merton model for evaluating European options on non-dividend paying stock, which option sensitivity (Greek) would be identical for both a call and a put option, [...]

题目 A stock price is USD 50 with a volatility of 22%. The risk free rate is 3%. Use the Black-Scholes-Merton formula to value (a) a European call option and (b) a European put option when the [...]

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 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 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 speculative (aka, junk) bond has 15.0 years to maturity and pays a semi-annual 6 1/8 coupon; i.e., its coupon rate is 6.125% payable semi-annually. Its yield is 11.00%. If we assume a [...]

题目 At a rate of 4.00% a bond has a price of $107.93. If the rate drops by one basis point to 3.99%, the bond price increases to $108.00. What is an estimate of the bond's effective duration? [...]