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StuDocu non è sponsorizzato o supportato da nessuna università o ateneo. Hull OFOD9e Multiple Choice Questions and Answers Ch19 Options, Futures and Risk Management (University of New South Wales) Scaricato da Fabio Bonometti ([email protected]) lOMoARcPSD|6748587
Hull: Optons, Futures, and Other Derivatves, Ninth Editon Chapter 19: The Greek Leters Multple Choice Test Bank: Questons with Answers 1.A call opton on a stock has a delta of 0.3. A trader has sold 1,000 optons. What positon should the trader take to hedge the positon? A.Sell 300 sharesB.Buy 300 sharesC.Sell 700 sharesD.Buy 700 sharesAnswer: BWhen the stock price increases by a small amount, the opton price increases by 30% of this amount. The trader therefore has a hedged positon if he or she buys 300 shares. For small changes the gain or loss on the stock positon is equal and opposite to the loss or gain on the opton positon. 2.What does theta measure? 3.What does gamma measure? 4.What does vega measure? lOMoARcPSD|6748587
Answer: D Vega measures the rate of change of the value of the portolio value with volatlity.

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