The binomial price will theoretically equal the Black-Scholes-Merton price under which of the following conditions?
a. when the number of time periods is large
b. when the option is at-the-money
c. when the option is in-the-money
d. when the option is out-of-the-money
e. none of the above
Answer: A
Learn More :
The Black-Scholes Merton Model
- S0 = 23 X = 20 rc = 0.09 T = 0.5 2 = 0.15 No dividends are expected.
- The relationship between the option price and the exercise price is called
- Which of the following statements about the volatility is not true?
- Which of the following "Greeks" is not a measure of the option's sensitivity to a change in one of its input values?
- Which of the following statements about the delta is not true?
- Which of the following characteristics of the Black-Scholes-Merton model is not correct?
- Which of the following variables in the Black-Scholes-Merton option pricing model is the most difficult to obtain?
- Which of the following assumptions of the Black-Scholes-Merton model is not correct?
- Which of the following statements about the Black-Scholes-Merton model is not true?
- The pattern of volatility across exercise prices is often called
- The relationship between the volatility and the time to expiration is called the
- What is the reason for executing a gamma hedge?
- Which of the following statements is true about the relationship between the option price and the risk-free rate?
- If the stock price is 44, the exercise price is 40, the put price is 1.54, and the Black-Scholes-Merton price using 0.28 as the volatility is 1.11, the implied volatility will be
If the answers is incorrect or not given, you can answer the above question in the comment box. If the answers is incorrect or not given, you can answer the above question in the comment box.