Which of the following describes a futures-style option? ( )
An option on a futures
B. An option on spot with daily settlement
C. A futures on an option payoff
D. None of the above
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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
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
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