Question
1. On June 7, 2010 the October 75 call option on ABYZ was priced at $250. Currently, on October 7, 2010, the price of ABYZ
1. On June 7, 2010 the October 75 call option on ABYZ was priced at $250. Currently, on October 7, 2010, the price of ABYZ common is $3 higher than it was on June 3rd, which of the following is true?
A.The call option is now in-the-money
B.The current price of the call option is higher than it was on June 3rd
C.The call option must have been exercised
D.The current price of the call option may be lower than it was on June 3rd
E.None of the above
2. The Black-Schole option pricing model defines a call option value as a function of which of the following:
A.The expected volatility of the underlying stock over the remainder of stocks life
B.The expected volatility of the option over the remainder of the options life
C.The expected volatility of the underlying stock over the remainder of the options life
D.The expected volatility of the option over the remainder of the stocks life
E.The options open interest
3. The delta of an option:
A.is the first partial derivative of the option value with respect to the time to expiration
B.is a function of time to expiration
C.will be between 1 and 0 if the option is a put
D.will be between 0 and -1 if the option is a call
E.All of the above are correct
4. Ceteris paribus, as the underlying stock price increases
A.call option deltas decrease
B.put option deltas increase
C.call gammas increase monotonically
D.put gammas decrease monotonically
Step by Step Solution
There are 3 Steps involved in it
Step: 1
![blur-text-image](https://dsd5zvtm8ll6.cloudfront.net/includes/images/document_product_info/blur-text-image.webp)
Get Instant Access with AI-Powered Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
![blur-text-image](https://dsd5zvtm8ll6.cloudfront.net/includes/images/document_product_info/blur-subtext-image.webp)
Step: 3
![blur-text-image](https://dsd5zvtm8ll6.cloudfront.net/includes/images/document_product_info/blur-subtext-image.webp)
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started