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题目 Each of the following is an underlying assumption of the Black-Scholes option pricing model EXCEPT: 选项 A.There are no transactions costs or taxes. All securities are perfectly divisible. [...]
题目 Which of the following portfolios would have the highest vega assuming all options involved are of the same strikes and maturities? 选项 A.Long a call B.Short a put C.Long a put and long a [...]
题目 You are given the following information about a call option: Time to maturity = 2 years Continuous risk-free rate = 4% Continuous dividend yield = 1% N(d1) = 0.64 Calculate the delta of this [...]
题目 The current price of the S&P 500 Index is 1200. The one-year futures price is 1262; i.e., +5% continuously compounded. The volatility of the index is 18% per annum and the dividend yield [...]
题目 Consider the following call option which is re-priced after a mild + 3.0% shock to its volatility. In both cases, the stock = strike = $50 (i.e., at an-the-money call option), the risk-free [...]
题目 A company's stock price is $100.00 and 50.0 million shares are outstanding, so that its equity market capitalization is $5.0 billion. The company is considering granting 2.0 million [...]
题目 Ms. Zheng is responsible for the options desk in a London bank. She is concerned about the impact of dividends on the options held by the options desk. She asks you to assess which options are [...]
题目 The spot price of oil is $80.00 per barrel with a volatility of 26% per annum. The risk-free rate is 5.0% per annum. What is the delta of a one-year futures contract when the one-year futures [...]
题目 Consider a six-month at-the-money (ATM) European call option on a non-dividend-paying stock with a current price of $80.00. Peter the Risk Analyst has employed a two-step (i.e., three months [...]
题目 An options dealer sells equity call options. When sold, the options are at-the-money and the firm will be delta-neutral hedged. Which of the following statements is correct? I The options [...]