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Question 829  option, future, delta, gamma, theta, no explanation

Below are some statements about futures and European-style options on non-dividend paying stocks. Assume that the risk free rate is always positive. Which of these statements is NOT correct? All other things remaining equal:



Question 830  option, delta, gamma, no explanation

Below are some statements about European-style options on non-dividend paying stocks. Assume that the risk free rate is always positive. Which of these statements is NOT correct?



Question 833  option, delta, theta, standard deviation, no explanation

Which of the following statements about an option (either a call or put) and its underlying stock is NOT correct?



Question 834  option, delta, theta, gamma, standard deviation, Black-Scholes-Merton option pricing

Which of the following statements about an option (either a call or put) and its underlying stock is NOT correct?

European Call Option
on a non-dividend paying stock
Description Symbol Quantity
Spot price ($) ##S_0## 20
Strike price ($) ##K_T## 18
Risk free cont. comp. rate (pa) ##r## 0.05
Standard deviation of the stock's cont. comp. returns (pa) ##\sigma## 0.3
Option maturity (years) ##T## 1
Call option price ($) ##c_0## 3.939488
Delta ##\Delta = N[d_1]## 0.747891
##N[d_2]## ##N[d_2]## 0.643514
Gamma ##\Gamma## 0.053199
Theta ($/year) ##\Theta = \partial c / \partial T## 1.566433
 

 




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