Valuation of Contingent Claims — Flashcards

Valuation of Contingent Claims — Flashcards

Valuation of Contingent Claims — Flashcards

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75 flashcards— Page 6 of 8
Study NotesQuestions
#51

What is a swaption?

#52

synthetic call =

#53

To increase overall gamma in a portfolio, one should \_\_\_\_\_

#54

If a call option is underpriced in the market, \_\_\_ the option and \_\_\_ a fractional share of stock

#55

For which option is gamma the lowest?

#56

For in-the-money call options (stock price > exercise price), the call delta moves closer to \_\_\_ as time passes

#57

What is a receiver swaption?

#58

For out-of-the-money call options (stock price \< exercise price), the call delta moves towards \_\_\_\_ as time passes

#59

What is a floorlet?

#60

How does a put option's price change as the underlying asset's price increases?

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