What does vega measure? ( )
A. The rate of change of delta with the asset price
B. The rate of change of the portfolio value with the passage of time
C. The sensitivity of a portfolio value to interest rate changes
D. None of the above
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What does rho measure? ( )
A. The rate of change of delta with the asset price
B. The rate of change of the portfolio value with the passage of time
C. The sensitivity of a portfolio value to interest rate changes
D. None of the above
Which of the following is true? ( )
A. The delta of a European put equals minus the delta of a European call
B. The delta of a European put equals the delta of a European call
C. The gamma of a European put equals minus the gamma of a European call
D. The gamma of a European put equals the gamma of a European call
How many different paths are there through a Cox-Ross-Rubinstein tree with four-steps? ( )
A. 5
B. 9
C. 12
D. 16
When the stock price is 20 and the present value of dividends is 2, which of the following is the recommended way of constructing a tree? ( )
A. Draw a tree for an initial stock price of 20 and subtract the present value of future dividends at each node
B. Draw a tree for an initial stock price of 22 and subtract the present value of future dividends at each node
C. Draw a tree with an initial stock price of 18 and add the present value of future dividends at each node
Draw a tree with an initial stock price of 18 and add 2 at each node
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