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chap11

# 06div001youshort10035strikecallsat68daysuntil a

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Unformatted text preview: what is the most likely preference of I the investor, relative to a change in rho? A) ecrease D B) ncrease I C) tay constant S D) ndifferent I Answer: A 18) s the date of expiration approaches, what change in theta might counteract or slowdown A the drop in the option price? A) ecrease D B) ncrease I C) tay constant S D) ndifferent I Answer: A 3 19) hat is the total dollar cost to create a delta hedge position against a 200 short call position? W Assume calls are priced at \$4.16, the delta is 0.7644, and stock price is \$73.00. A) 9,880 \$ B) 10,328 \$ C) 11,168 \$ D) 12,660 \$ Answer: B 20) ssume S = \$33.00, σ = 0.32, r = 0.06, div = 0.01. You short 100 \$35 strike calls at 68 days until A expiration. Under a delta hedge position, what is your overnight profit/loss if the stock rises to \$34.50? A) 9.23 loss \$ B) 9.23 gain \$ C) 7.62 loss \$ D) 7.62 gain \$ Answer: C 21) ssume that a \$50 strike put pays a 2.0% continuous dividend, r = 0.07, σ = 0.25, and the A stock price is \$48.00. What is the profit or loss, per share, for a short put position...
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