What is the rho of a European put option with the following parameters? As a reminder, rho is defined as the first derivative of the option price with respect to the risk free rate. s0 = $40k = $39 r = 10%sigma = 20%T = 0.75 years (required precision 0.01 +/- 0.01)   Greeks Reference Guide: Delta = ∂π/∂S Theta = ∂π/∂t Gamma = (∂2π)/(∂S2) Vega = ∂π/∂σ Rho = ∂π/∂r

am. 114.

A financial institution has the following portfolio of over-the-counter options on sterling: Type Call Call Put Call Position -1,000 -500 -2,000 -500 Delta of Option 0.5 0.8 -0.40 0.70 Gamma of Option 2.2 0.6 1.3 1.8 Vega of Option 1.8 0.2 0.7 1.4 A traded option is available with a delta of 0.6, a gamma of 1.5, and a vega of 0.8. (a) What position in the traded option and in sterling would make the portfolio both gamma neutral and delta neutral? (b) What position in the traded option and in sterling would make the portfolio both vega neutral and delta neutral?

What is the delta of a European put option with the following parameters? s0 = $40k = $46 r = 10%sigma = 20%T = 0.75 years (required precision 0.01 +/- 0.01)   Greeks Reference Guide: Delta = ∂π/∂S Theta = ∂π/∂t Gamma = (∂2π)/(∂S2) Vega = ∂π/∂σ Rho = ∂π/∂r

You can get a car loan with a term of three years at an APR of 4%. If you can afford a monthly payment of $530, how much can you borrow? Round your answer to the nearest cent. borrowed amount for the car: S

Given the following information, predict the European call option's new price after the risk free rate changes. Initial call option price = $3 Initial risk free rate = 9.9% Rho = 9 New risk free rate = 9.5%   (required precision 0.01 +/- 0.01)   Greeks Reference Guide: Delta = ∂π/∂S Theta = ∂π/∂t Gamma = (∂2π)/(∂S2) Vega = ∂π/∂σ Rho = ∂π/∂r   Recall that rho is defined as the partial derivative of the option's price with respect to the risk free rate. (i.e. rho = ∂π / ∂r).

Which one of the following statements is true? Multiple Choice O O O O A call with a strike price of $25 and a stock price of $23 has positive intrinsic value. A European style option is more valuable than an American style option. An American style out-of-the-money call option can have a positive value. A $40 put option has more intrinsic value than a $50 put option on the same underlying asset. The time value of an option is equal to the intrinsic value minus the option premium.

i)identify, analyze and discuss the following characteristics of an American put option: maximum value, intrinsic value, time value, lower bound, and payoff at expiration.    ii) analyze and discuss the following factors on an American put option: time to expiration, exercise price, interest rate, volatility, and dividends.  iii) identify, analyze, and discuss the following characteristics of a European call option: maximum value, intrinsic value, time value, lower bound, and payoff at expiration.  iv) analyze and discuss the following factors on a European call option: time to expiration, exercise price, interest rate,

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Which of the following statements about European option contracts is TRUE? a. Typically American options are cheaper than otherwise similar European options due to the uncertainty regarding the date of exercise. b. One can synthesise a long forward position in the underlying by being long a call and short a put c. A long call position and a short put position both involve buying the underlying and so are equivalent d. The price of an option can be obtained by computing the true probabilities of each state of nature, working out the expected option payoff across those states and then discounting back to the present.