A) An option that is either A sian or Bermudan. B) An option that is unique and not widely traded. C) An option that is not a vanilla put or call. D) An option where there are more than two counterparties in the deal. A) An option that is either A sian or Bermudan. B) An option that is unique and not widely traded. C) An option that is not a vanilla put or call. D) An option where there are more than two counterparties in the deal.

A) Any option written on an unusual or rare underlying asset. B) An option that is traded only by boutique organizations. C) Any option that is not a plain vanilla put or call. D) Any option with very complex payoff patterns. A) Any option written on an unusual or rare underlying asset. B) An option that is traded only by boutique organizations. C) Any option that is not a plain vanilla put or call. D) Any option with very complex payoff patterns.

Exam 18: Path-Independent Exotic Options

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You enter into an exchange option contract where you have the right to give up 5 shares of IBM stock in exchange for one share of Google in three months.After three months,IBM is trading at $92 per share while Google is at $430.The payoff at maturity is

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Question 1

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Consider an at-the-money call option on the maximum of two assets.As the correlation between the two assets increases,what happens to the value of this option?

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The delta of a cash-or-nothing call option is highest when the option is

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Question 3

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A cash-or-nothing binary call option increases in value when the price of the underlying increases.The delta of such an option

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Question 4

A forward-start option is

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Question 5

You are interested in hedging a portfolio of bonds against a rise in interest rates.Which of the following approaches will be most suitable to your goal?

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Question 6

An exotic option is

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Question 7

You are long a portfolio of vanilla call options.Which of the following will help you hedge away your vega risk?

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Question 8

The gamma of a cash-or-nothing binary call option and the theta of such an option

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Question 9

You are a UK-based investor who is interested in investing in options on Japanese stocks.The options are denominated in Japanese yen (JPY),but you are not interested in taking on GBP/JPY exchange-rate risk.The most suitable alternative for you is to

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Question 10

An exotic option is

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Question 11

Consider digital (cash-or-nothing)call options.When volatility increases,the holders of out-of-the-money options generally ,and the holders of in-the-money options generally

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Question 12

You are long a portfolio of vanilla call options.Which of the following will help you hedge away your convexity (gamma)?

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Question 13

A cash-or-nothing call option written on a stock

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Question 14

Let $K$ denote the strike of an asset-or-nothing call option and $S _ { T }$ the price of the underlying at maturity.The option is worth

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Question 15

Consider pricing an exchange option on two stocks.Assume the usual lognormal returns distributions on the stock prices as in Magrabe's formula.Which of the following input variables does NOT affect the probability of the option being in-the-money at maturity?

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Question 16

You have written a put on a call,where the underlying call is written on a stock.To delta hedge yourself you can either go the underlying call or the underlying stock.

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Question 17

Select the most accurate alternative.The theta of an in-the-money cash-or-nothing call option is

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Question 18

A chooser option gives the holder the right,on the choice date,

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Question 19

A three-month at-the-money call option on a stock is trading at $5;the stock is trading at $50.A forward start option that comes to life in one month and has a life of three months from that point and that will be at-the-money when it comes to life is trading at $4.98.You hold a portfolio that is long the three-month call and short the forward start.The gamma of the portfolio is

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Question 20

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Exam 18: Path-Independent Exotic Options

You enter into an exchange option contract where you have the right to give up 5 shares of IBM stock in exchange for one share of Google in three months.After three months,IBM is trading at $92 per share while Google is at $430.The payoff at maturity is

Consider an at-the-money call option on the maximum of two assets.As the correlation between the two assets increases,what happens to the value of this option?

The delta of a cash-or-nothing call option is highest when the option is

A cash-or-nothing binary call option increases in value when the price of the underlying increases.The delta of such an option

A forward-start option is

You are interested in hedging a portfolio of bonds against a rise in interest rates.Which of the following approaches will be most suitable to your goal?

An exotic option is

You are long a portfolio of vanilla call options.Which of the following will help you hedge away your vega risk?

The gamma of a cash-or-nothing binary call option and the theta of such an option

You are a UK-based investor who is interested in investing in options on Japanese stocks.The options are denominated in Japanese yen (JPY),but you are not interested in taking on GBP/JPY exchange-rate risk.The most suitable alternative for you is to

An exotic option is

Consider digital (cash-or-nothing)call options.When volatility increases,the holders of out-of-the-money options generally ,and the holders of in-the-money options generally

You are long a portfolio of vanilla call options.Which of the following will help you hedge away your convexity (gamma)?

A cash-or-nothing call option written on a stock

Let KKK denote the strike of an asset-or-nothing call option and STS _ { T }ST​ the price of the underlying at maturity.The option is worth

Consider pricing an exchange option on two stocks.Assume the usual lognormal returns distributions on the stock prices as in Magrabe's formula.Which of the following input variables does NOT affect the probability of the option being in-the-money at maturity?

You have written a put on a call,where the underlying call is written on a stock.To delta hedge yourself you can either go the underlying call or the underlying stock.

Select the most accurate alternative.The theta of an in-the-money cash-or-nothing call option is

A chooser option gives the holder the right,on the choice date,

Overview

Futures Markets

Pricing Forwards and Futures I

Pricing Forwards Futures II

Hedging With Futures Forwards

Interest-Rate Forwards Futures

Options Markets

Options: Payoffs Trading Strategies

No-Arbitrage Restrictions

Early-Exercise/Put-Call Parity

Option Pricing: An Introduction

Binomial Option Pricing

Implementing the Binomial Model

The Black-Scholes Model

Mathematics of Black-Scholes

Beyond Black-Scholes

The Option Greeks

Exotic Options II: Path-Dependent Options

Value at Risk

Swaps and Floating Rate Products

Equity Swaps

Currency and Commodity Swaps

Term Structure of Interest Rates: Concepts

Estimating the Yield Curve

Modeling Term Structure Movements

Factor Models of the Term Structure

The Heath-Jarrow-Morton Hjmand Libor Market Model LMM

Credit Derivative Products

Structural Models of Default Risk

Reduced-Form Models of Default Risk

Modeling Correlated Default

Filters

Let $K$ denote the strike of an asset-or-nothing call option and $S _ { T }$ the price of the underlying at maturity.The option is worth