Assume a bank has bought a call option on bonds with a notional value of $200.Further assume that and that the delta of the option is calculated at 0.45.What is the contingent asset value (round to two decimals)?
A)$200 / 0.45 = $444.44
B)$200 * 0.45 = $90.00
C)($200 / 0.45) / 100 = $4.44
D)($200 * 0.45) / 100 = $0.90

Question

Quizplus · Accepted Answer

The contingent asset value is calculated by multiplying the notional value by the delta, which in this case is $200 * 0.45 = $90.00.

Assume a Bank Has Bought a Call Option on Bonds