爱考云 - 搜题找答案神器_海量试题解析在线查

题目 The current price of a non-dividend paying stock is $75. The annual volatility of the stock is 18.25%, and the current continuously compounded risk-free interest rate is 5%. A 3-year European [...]

题目 A delta-neutral option portfolio has a position gamma of +300. If call options have a (percentage) delta of 0.58 and gamma of 0.120, what trades will neutralize the delta and gamma of the [...]

题目 A portfolio of stock A and options on stock A is currently delta neutral, but has a positive gamma. Which of the following actions will make the portfolio both delta and gamma neutral? 选项 [...]

题目 A trader buys an at-the-money call option with the intention of delta-hedging it to maturity. Which one of the following is likely to be the most profitable over the life of the option? 选项 [...]

题目 A market maker is trading the following three (3) positions in call and put options which are identical with respect to their underlying stock price, the strike price and the maturities: long [...]

题目 Which of the following statements is false? 选项 A.European-styled call and put options are most affected by changes in vega when they are at-the-money. B.The delta of a European-styled put [...]

题目 The risk-free rate is 3.0% per annum while the price of a non-dividend-paying stock is $120.00. For a European call option with a strike price of $100.00 and one year maturity, the [...]

题目 An analyst is doing a study on the effect on option prices of changes in the price of the underlying asset. The analyst wants to find out when the deltas of calls and puts are most sensitive [...]

题目 An analyst is doing a study on the effect on option prices of changes in the price of the underlying asset. The analyst wants to find out when the deltas of calls and puts are most sensitive [...]

题目 Steve, a market risk manager at Marcat Securities, is analyzing the risk of its S&P 500 index options trading desk. His risk report shows the desk is net long gamma and short vega. Which [...]