关于2010 FRM.Practice Exam L2.25的延伸

ramdabom

25. Looking at a risk report, Mr.Woo finds that the options book of Ms. Yu has only long positions and yet has a negative delta. He asks you to explain how that is possible. What is a possible explanation? [source: FRM 2010 practice exam]
a.  The book has a long position in up-and-in call options.
b.  The book has a long position in binary options.
c.  The book has a long position in up-and-out call options.
d.  The book has a long position in down-and-out call options.

本题答案相信各位考友都有数了，下面几个问题希望大家踊跃讨论～～～
25.2 Which barrier option(s) can have a delta that less than -1.0?
25.3 Which barrier options(s) can exhibit negative vega?
25.4 Does a down-and-out call become more valuable or less valuable as we increase the frequency with which we observe the asset price in determining whether the barrier has been crossed? What is the answer to the same question for a down-and-in call? [Source: Hull]
25.5 Explain why a regular European call option is the sum of a down-and-out European call and a down-and-in European call. Is the same true for American call options? [Source: Hull]
25.6 (Hard. Optional. Beyond FRM exam) The current uranium futures pric

最佳答案

krause2

您客气了，等着。。。

economicz

8# kathy85

谢谢楼上~~~~~

ttsiang02

请高手cb702来回答

BC_MBA_student

美丽的5月，楼主与二楼三楼生活惬意的说。。。
上班时间二人来顶贴，不错。

Muddahudda

怎么没有人回答啊，也来顶起！

random_walker47

很明显，楼主和二楼是托儿

ASSet_MANagemen

怎么没有人回答啊，顶起！

Iginla2010

25.4  if we increase the frequency with which we observe the asset price, it would be less possible to hit the barrier price. this is to say the price of down-and-out call would be more valuable and down-and-in call less valuable.
25.5  There would be 2 cases in this question, either the asset price hit the barrier price or not. For the case barrier price being hitted, Cdi=C, Cdo=0. while for the other case that barrier price not being hitted Cdi=0, Cdo=C. therefore, no mater in which case, the Cdi+Cdo=C.
regarding to the other questions, i have no idea as well.

luckygiftvn

顶一个，高手进来回答一下啊