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
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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
Which of the following is true when the tails of a future stock price distribution are compared with those of a lognormal distribution with the same mean and standard deviation? ( )
A. The left tail and right tail are thinner
B. The left tail is thinner and the right tail is fatter
C. The right tail is thinner and the left tail is fatter
D. Both tails are fatter
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