爱考云 - 搜题找答案神器_海量试题解析在线查

题目 Portfolio manager Sally has a position in 100 option contracts with the following position greeks: theta = +25,000; vega = +330,000 and gamma = -200; ie., positive theta, positive vega and [...]

题目 Which of the following statements about option time value is true? 选项 A.Deeply out-of-the-money options have more time value than at-the-money options with the same remaining time to [...]

题目 A market maker writes (sells) a contract of 100 call options, where the percentage (per option) delta of the call options is 0.60 and the gamma is 0.080. The market maker wants to neutralize [...]

题目 Patty and Peter are risk analysts who are attempting to utilize the Black-Scholes-Merton option pricing model (BSM OPM) in order to price a call option on a publicly-traded stock. Their BSM [...]

题目 Which of the following statements is true regarding options Greeks? 选项 A.Theta tends to be large and positive when buying at-the-money options. B.Gamma is greatest for in-the-money options [...]

题目 A one-year European call option has a strike price of $10. The risk-free rate is 4% per annum. What is an estimate of the call price if the stock is $30; i.e., significantly in-the-money? [...]

题目 Which type of option experiences accelerating time decay as expiration approaches in an unchanged market? 选项 A.In-the-money B.Out-of-the-money C.At-the-money D.None of the above 答案 C [...]

题目 If risk is defined as a potential for unexpected loss, which factors contribute to the risk of a short call option position? 选项 A.Delta, Vega, Rho B.Vega, Rho C.Delta, Vega, Gamma, Rho [...]

题目 In the absence of dividends, Hull shows that an American-style call option should never be exercised early. However, if the American-style call option instead does pay dividends, which of the [...]

题目 The current price of a stock is $10, and it is known that at the end of three (3) months the stock's price will be either $13 or $7. The risk-free rate is 4% per annum. What is the implied no [...]