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 |