Valuation of Contingent Claims — Flashcards
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To lower overall gamma in a portfolio, one should \_\_\_\_
Dynamic delta hedging: # of short call options =
When does a holder of a receiver swaption exercise?
What does the VIX index track?
What is the put-call parity?
When does the put payoff in an interest rate option?
fiduciary call =
For in the money put options (stock price \< exercise price), the put delta moves closer to \_\_\_\_ as time passes.
How can an interest rate cap be replicated?
How does the price of a put option change as the risk-free rate increases?
Study by Chapter
Binomial option valuation model and its components
Flashcards
European option value as present value of expected payoff
Flashcards
Option arbitrage opportunities
Flashcards
Two-period binomial values of European and American options
Flashcards
Interest rate options in a two-period binomial model
Flashcards
Black-Scholes-Merton model assumptions
Flashcards
BSM call value as a leveraged position in the underlying
Flashcards
BSM valuation of equity and currency options
Flashcards
The Black model for options on futures
Flashcards
The Black model for interest rate options and swaptions
Flashcards
Option Greeks
Flashcards
Dynamic delta hedging
Flashcards
Gamma risk in options trading
Flashcards
Implied volatility
Flashcards
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