Multiple Choice
The risk-free rate is 5% and the dividend yield on an index is 2%. Which of the following is the delta with respect to the index of a one-year futures on the index?
A) 0.98
B) 1.05
C) 1.03
D) 1.02
Correct Answer:

Verified
Correct Answer:
Verified
Related Questions
Q1: Which of the following could NOT be
Q2: Gamma tends to be high for which
Q3: Maintaining a delta-neutral portfolio is an example
Q5: What does vega measure?<br>A) The rate of
Q8: Vega tends to be high for which
Q13: When the interest rate is zero which
Q15: Which of the following is NOT true
Q16: A call option on a non-dividend-paying stock
Q17: Which of the following is NOT a
Q19: The gamma of a delta-neutral portfolio is