爱考云 - 搜题找答案神器_海量试题解析在线查

题目 Each of the following is an underlying assumption of the basic Black-Scholes option pricing model EXCEPT: 选项 A.The stock price follows a geometric Brownian motion (GBM) which is a [...]

题目 What is, respectively, the delta of an at-the-money (ATM) six-month European call and put option on a non-dividend-paying stock when the riskless rate is 4.0% per annum and the stock price [...]

题目 A portfolio of short calls and short puts is delta-neutral and the options are, on average, at-the-money (ATM) with near-term maturities. Which of the following is most likely true about the [...]

题目 In sequence FROM LOWEST to highest value of option delta, what is the correct order of the following four options: in-the-money (ITM) call option, out-of-the-money (OTM) call option, [...]

题目 Call and put option values are most sensitive to changes in the volatility of the underlying when: 选项 A.Both calls and puts are deep in-the-money. B.Both puts and calls are deep [...]

题目 Using key rates of 2-year, 5-year, 7-year, and 20-year exposures assumes all of the following except that the: 选项 A.2-year rate will affect the 5-year rate B.7-year rate will affect the [...]

题目 An investment in a callable bond can be analytically decomposed into a: 选项 A.Long position in a non-callable bond and a short position in a put option B.Short position in a non-callable [...]

题目 A market maker sells (writes) $100 million face value of call options on underlying bonds when the interest rate is 4.0%. The price of the call options is $3.0 million and their (modified) [...]

题目 Which of the following statements about STRIPS is correct? I. SIRIPS ave less interest rate sensitivity than coupon bonds. II. Tend to be highly liquid. 选项 A.\u2160 only B.\u2161 only [...]

题目 A trading portfolio consists of two bonds, A and B. Both have modified duration of 3 years and face value of USD 1000, but A is a zero-coupon bond and its current price is USD 900, and bond B [...]