Quiz Ch 16 – Black-Scholes Hedge Ratio for Long Call Option
Essentials of Investments
Bodie, Kane, and Marcus
12th Edition
What formula represents the Black-Scholes hedge ratio for a long call option?
What formula represents the Black-Scholes hedge ratio for a long call option?
How is the Black-Scholes hedge ratio calculated for a long put option?
What aspect should remain constant for two options on the same stock but differing exercise prices, as per the Black-Scholes option-pricing model?
What is the intrinsic value and time value of the option given a call option with a strike price of $55 and a current stock price of $50?
What is needed to achieve perfect dynamic hedging?
What term represents the excess amount above intrinsic value found in the actual call price?
What defines the intrinsic value of a call option?
What will happen to the value of Investor A’s call option and Investor B’s put option as stock price volatility increases assuming all else remains constant?
What factor contributes to a rise in the value of a put option?
Which factor does NOT contribute to the rise in the value of a call option?