Doubt: to hedge against rising interest rates we’ll buy a futures contract which is like buying a call option. F*N(d1) – X*N(d2)/e^rt: Futures Component – Bond Component. why is option A wrong in this case. also why is given that ...
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Doc1 Why have we added the option delta of 0.587 and the option gamma of 0.019 to get the number of shares required i.e. 0.606? Q Identification Tag: Is Madisox’s suggested hedging strategy for Weehawkin options most likely correct?
Please explain this- “Implied volatility is higher for lower strike prices than for higher strike prices; therefore, out-of-the-money put options will generally be more expensive than out-of-the-money call options. Implied volatilities of options with lower strike prices are higher than those ...
The CORE states that Vega is higher for near term options whereas in reality, vega is higher for far term options. So what should the answer be if it comes in the exam?
In Q2, the answer given is b, but couldn’t c also be the answer here?
Can Someone please explain why there is a difference in my calculation and institute’s calculation. Institute is calculating bond future price without AI(T), using the conversion factor and after that it is subtracting AI(T). Whereas we calculate everything first and then ...
I haven’t been able to solve the question . i would like to know the explanation as well . Thank you Q Identification Tag: Meredith Whitley is a senior consultant in the Swaps Advisory Group of DCM Capital, an independent ...