Which of the following statements is false?
A) The change in value of a portfolio of puts and calls on the same stock is approximated by the sum of the product of each option's delta with the change in the stock price.
B) The change in value of a portfolio of puts and calls on the same stock is approximated by the product of the sum of each option's delta with the change in the stock price.
C) The change in value of a portfolio of puts and calls on the same stock is approximated by the sum of the product of each option's delta with the change in the stock price plus the sum of the cross-correlated changes of each option with the other options for the same change in the stock price.
D) The change in value of a portfolio of puts and calls on the same stock is approximated by the sum of the product of each option's delta with the change in the stock price plus half the sum of the product of option gammas with squared changes in the stock price.
Correct Answer:
Verified
Q12: Which of the following statements is valid
Q13: A stock is currently trading at
Q14: The current stock price is $50,and a
Q15: Which of the following statements is true?
Q16: You are short a put on
Q18: You hold a portfolio of a long
Q19: The delta of an option measures,approximately,
A)The dollar
Q20: The current stock price is $50,and
Q21: Which of the following is NOT valid
Q22: A stock is trading at $20.A
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