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Question 829  option, future, delta, gamma, theta, no explanation

Below are some statements about futures and European-style options on non-dividend paying stocks. Assume that the risk free rate is always positive. Which of these statements is NOT correct? All other things remaining equal:



Question 833  option, delta, theta, standard deviation, no explanation

Which of the following statements about an option (either a call or put) and its underlying stock is NOT correct?



Question 834  option, delta, theta, gamma, standard deviation, Black-Scholes-Merton option pricing

Which of the following statements about an option (either a call or put) and its underlying stock is NOT correct?

European Call Option
on a non-dividend paying stock
Description Symbol Quantity
Spot price ($) S0 20
Strike price ($) KT 18
Risk free cont. comp. rate (pa) r 0.05
Standard deviation of the stock's cont. comp. returns (pa) σ 0.3
Option maturity (years) T 1
Call option price ($) c0 3.939488
Delta Δ=N[d1] 0.747891
N[d2] N[d2] 0.643514
Gamma Γ 0.053199
Theta ($/year) Θ=c/T 1.566433