Multiple Choice
The following information is given about options on the stock of a certain company.
S0 = 23 X = 20
rc = 0.09 T = 0.5
2 = 0.15
No dividends are expected.
Use this information to answer questions 1 through 8.
-If the actual call price is 3.79,the implied standard deviation is
A) 0.25
B) greater than 0.25
C) less than 0.25
D) infinite
E) none of the above
Correct Answer:
Verified
Correct Answer:
Verified
Q48: An option's gamma represents the risk of
Q49: Which of the following statements about the
Q50: The values of N(d<sub>1</sub>)and N(d<sub>2</sub>)are called risk
Q51: Which of the following "Greeks" is not
Q52: When the risk-free rate is zero,the Black-Scholes
Q54: The option's delta is approximately the change
Q55: The Black-Scholes-Merton model combined with put-call parity
Q56: The binomial price will theoretically equal the
Q57: Which of the following assumptions of the
Q58: The Black-Scholes-Merton model for European puts,obtained