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 negative [...]

题目 A trader has an American put option with strike price of $50. The underlying asset is stock with a spot price of $40. Using an one-step binomial tree to evaluate the option. Suppose the stock [...]

题目 A European put option on a non-dividend paying stock has a remaining life of 6 months with a strike of USD 50 and the risk-free rate of 1%, after 3 months which of the following stock prices [...]

题目 If it is necessary to be long 2,500 deep-in-the-money call options in order to create a gamma neutral position, which of the following actions would best restore the original delta-neutral [...]

题目 A portfolio has the following position Greeks: delta = -300, gamma = -150, and vega = - 3,000. A trader wants to neutralize all three Greeks and, in addition to the underlying shares, can use [...]

题目 A six-month European put option on a non-dividend-paying stock has a strike price of $100 when the current stock price is $100. The risk free rate is 4%. N(d1) = 0.57 and N(d2) = 0.48. What is [...]

题目 A stock with a current price of $32 and volatility of 15% pays a dividend of 2.0% per annum (with continuous compounding). The riskless rate is 2.0%. We use a twelve-step binomial model to [...]

题目 Which position is most risky? 选项 A.Gamma-negative, delta-neutral B.Gamma-positive, delta-positive C.Gamma-negative, delta-positive D.Gamma-positive, delta-neutral 答案 C 解析 A riskier [...]

题目 Martha used a three-step binomial model to value a (long-term) put option with three years to maturity; i.e., each time step is one year. While the risk-free rate is 4.0%, the underlying [...]

题目 Assume 250 trading days in the year. When the underlying stock has a volatility of 50.0% per annum and the risk-free rate is 4.0%, an at-the-money (ATM) European call option, with a strike [...]