Binomial option valuation model and its components — Flashcards
Probability of an "up" move: πu =
What do we need to know to construct a binomial model?
Is the possibility of early exercise for call options on non-dividend paying stocks valuable?
Under the Black model, the value of a call option on a futures contract is given by the...
What options have a positive rho?
What value of delta can a call option have?
What value of gamma for short stock and long option (both put & call) portfolio?
What is the value of gamma of a long stock and short options (both long & put) portfolio?
For a binomial stock price tree, the risk-neutral probability of an up and down move for options are equal to?
What kind of options will have deltas close to 0?
Binomial option valuation model and its components Flashcards for CFA
Study 10 flashcards on Binomial option valuation model and its components for CFA Derivatives and Risk Management (Level II). These active recall cards cover the key concepts, clinical associations, and high-yield facts from this chapter of Valuation of Contingent Claims. Each card is designed to test your understanding rather than just recognition, building stronger and more durable memories for exam day.
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