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Question
Assume that a $50 strike call has a 3.0% continuous dividend, σ = 0.27, r = 0.06 and 60 days from expiration. What is the gamma for a stock price movement from $48.00 to $49.00?A) 0.046
B) 0.074
C) 0.089
D) 0.099
Answer
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Related questions
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Assume the following: LN(S) and LN(Q) have a correlation coefficient of -0.65, S(0) = 55, Q(0) = 60, r = 0.04, σs = 0.22 σQ = 0.15, and dividends = 0. Using formula 20.39, what is the price of a claim that pays Q/?
A) $8.16
B) $9.16
C) $10.16
D) $11.16
Q:
Assume the following: LN(S) and LN(Q) have a correlation coefficient of 0.40, S(0) = 60, Q(0) = 60, r = 0.05, σs = 0.30 σQ = 0.25, and dividend = 0. Using formula 20.39, what is the price of a claim that pays ?
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Monte Carlo simulation assumes all assets earn:
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The current price of silver is $32.00 per ounce. The effective lease rate and risk free rate are 3.0% and 4.0%, respectively. If the cost to mine one ounce of silver is a constant $25.00, what is the trigger price per ounce at which the silver will be mined?
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Q:
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The current Nikkei index price is 21,200. Assume σ = 0.13, r = 0.05 and div = 0.015. If
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Q:
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For a utility function that exhibits decreasing martingale utility, the martingale utility is high when:
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Q:
Briefly define a terminal boundary condition.
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Q:
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Q:
When hedging a foreign currency position, what makes a down-and-out put unattractive?
Q:
Assume S = $42, K = 45, div = 0, r = 0.04, σ = 0.48, and 80 days until expiration. What is the premium on a knock-out put option with a down-and-out barrier of $44?
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C) $3.47
D) $4.07
Q:
What is the payoff on a 75 strike Asian option given it is a geometric average price call? The recent prices are 72, 76, 74, 78, and 78.
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Q:
Assume S = $33.00, σ = 0.32, r = 0.06, div = 0.01, on a $35 strike call. Given delta = 0.3854 and gamma = 0.0847, what is the delta-gamma approximation for the call price on a $0.50 stock price increase? Assume 68 days until expiration.
A) $1.34
B) $1.36
C) $1.38
D) $1.40
Q:
What is the total dollar cost to create a delta hedge position against a 200 short call position? Assume calls are priced at $4.16, the delta is 0.7644, and stock price is $73.00.
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B) $10,328
C) $11,168
D) $12,660