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Assume a Bank Has Bought a Call Option on Bonds

Question 38

Multiple Choice

Assume a bank has bought a call option on bonds with a notional value of $200.Further assume that and that the delta of the option is calculated at 0.45.What is the contingent asset value (round to two decimals) ?


A) $200 / 0.45 = $444.44
B) $200 * 0.45 = $90.00
C) ($200 / 0.45) / 100 = $4.44
D) ($200 * 0.45) / 100 = $0.90

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