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Which of the following is false?
Let N(.) denote the cumulative distribution function of the standard normal probability distribution, and N' its derivative . Which of the following is false?A . N(0) = 0.5B . N'(0) 0C . N(x) 0 as xD . N'(x) 0 as xView AnswerAnswer: C
What is the value of the test statistic for the hypothesis that the coefficient of is less than 1?
A linear regression gives the following output: Figures in square brackets are estimated standard errors of the coefficient estimates. What is the value of the test statistic for the hypothesis that the coefficient of is less than 1?A . 0.32B . 0.64C . 0.96D . 1.92View AnswerAnswer: B
In a binomial tree lattice, at each step the underlying price can move up by a factor of u = 1.1 or down by a factor of . The continuously compounded risk free interest rate over each time step is 1% and there are no dividends paid on the underlying.
In a binomial tree lattice, at each step the underlying price can move up by a factor of u = 1.1 or down by a factor of . The continuously compounded risk free interest rate over each time step is 1% and there are no dividends paid on the underlying....
In a quadratic Taylor approximation, a function is approximated by:
In a quadratic Taylor approximation, a function is approximated by:A . a constantB . a straight lineC . a parabolaD . a cubic polynomialView AnswerAnswer: C
Consider two securities X and Y with the following 5 annual returns:
Consider two securities X and Y with the following 5 annual returns: X: +10%, +3%, -2%, +3%, +5% Y: +7%, -2%, +3%, -5%, +10% In this case the sample covariance between the two time series can be calculated as:A . 0.40729B . 0.00109C . 0.00087D . 0.32583View AnswerAnswer: B
What is the delta-gamma-vega approximation to the new option price when the underlying asset price changes to 105 and the volatility changes to 28%?
An underlying asset price is at 100, its annual volatility is 25% and the risk free interest rate is 5%. A European call option has a strike of 85 and a maturity of 40 days. Its Black-Scholes price is 15.52. The options sensitivities are: delta = 0.98; gamma = 0.006...
You intend to invest $100 000 for five years. Four different interest payment options are available. Choose the interest option that yields the highest return over the five year period.
You intend to invest $100 000 for five years. Four different interest payment options are available. Choose the interest option that yields the highest return over the five year period.A . a lump-sum payment of $22 500 on maturity (in five years)B . an annually compounded rate of 4.15%C ....
An option has value 10 when the underlying price is 99 and value 9.5 when the underlying price is 101. Approximate the value of the option delta using a first order central finite difference.
An option has value 10 when the underlying price is 99 and value 9.5 when the underlying price is 101. Approximate the value of the option delta using a first order central finite difference.A . -4B . 0.25C . -0.5D . -0.25View AnswerAnswer: D
What is the maximum value for f(x)= 8-(x+3)(x-3)?
What is the maximum value for f(x)= 8-(x+3)(x-3)?A . 8B . -1C . 17D . None of theseView AnswerAnswer: C
What percentage of return volatility is explained by the first component?
Suppose we perform a principle component analysis of the correlation matrix of the returns of 13 yields along the yield curve. The largest eigenvalue of the correlation matrix is 9.8 . What percentage of return volatility is explained by the first component? (You may use the fact that the sum...
