Consider a stock that pays no dividends. You hold a portfolio comprising an asset-or-nothing call and a cash-or-nothing put. The options share the same strike, and the cash-or-nothing put pays an amount equal to the strike price if the put finishes in-the-money. Your portfolio is equivalent to
A) A vanilla call.
B) A vanilla put.
C) A covered call.
D) A protective put.
Correct Answer:
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Q1: A path-independent option is
A) An option where
Q2: A three-month at-the-money call option on a
Q3: An exotic option is
A) An option that
Q4: A cash-or-nothing binary call option increases in
Q6: The gamma of a cash-or-nothing binary call
Q7: The gamma of a cash-or-nothing binary call
Q8: Consider digital (cash-or-nothing) call options. When volatility
Q9: At maturity in an asset-or-nothing option written
Q10: An exotic option is
A) Any option written
Q11: As maturity approaches, the delta of
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