Which one of the following four variables of the Black-Scholes model is typically NOT known at a point in time?
Answer(s): C
A risk manager analyzes a long position with a USD 10 million value. To hedge the portfolio, it seeks to use options that decrease JPY 0.50 in value for every JPY 1 increase in the long position. At first approximation, what is the overall exposure to USD depreciation?
Answer(s): A
A risk manager has a long forward position of USD 1 million but the option portfolio decreases JPY 0.50 for every JPY 1 increase in his forward position. At first approximation, what is the overall result of the options positions?
Answer(s): B
Which one of the following four statements correctly defines an option's delta?
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Vey commented on May 27, 2023 Highly appreciate for your sharing. CAMBODIA upvote
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