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Please write the calculation process, thank you!!!! Which of the following best describes the gamma of an option? The sensitivity of option price to a
Please write the calculation process, thank you!!!!
- Which of the following best describes the gamma of an option?
- The sensitivity of option price to a change in the price of the underlying asset
- The second partial derivative of the option value with respect to price of the underlying asset
- The sensitivity of option price to a change in the riskless rate of interest
- The rate of change in option value with respect to the volatility of the underlying asset
- The time decay of the option
- A weather derivatives CDD function has a benchmark temperature of 65 degrees Fahrenheit. The maximum temperature during a day is 85 degrees Fahrenheit and the minimum is 57 degrees Fahrenheit what is the daily CDD?
- 6
- 45
- 77
- 0
- 14
- The lower bound for the price of a put option written on a non dividend paying stock is:
- ST Ke-rt
- S0
- Ke-rt
- Ke-rt - ST
- S0 - ST
- Assume that the MILLY100 Index at close of trading yesterday was 7,300 and the daily volatility of the index was estimated as 0.8% per day at that time. The parameters in a GJR GARCH model are = 0.000006, = 0.09, and = 0.90. If the MILLY100 moves by 75 points by close of trading today, what will the new volatility estimate be, per day, if the move is an increase or a decrease?
Increase Decrease
- 1.0286% 1.0653%
- 7.5996% 7.6060%
- 9.0144% 7.9225%
- 1.0286% 1.4273%
- 0.8544% 0.9099%
- A plain vanilla interest rate swap is written on a notional principal of 100m. The swap pays 3.6% per annum in return for the 3-month LIBOR. Payments are made every 6 months and the swap has 10 months remaining to maturity. The 3-month LIBOR 2 months ago was 3.2% per annum. The swap rate for all maturities is currently 3.8% with continuous compounding. What is the value, in Euros, of the swap to the party paying floating?
- -119,195.16
- 1,941,376
- 82,477.03
- 83,001.04
- -82,477.00
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