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FIN 494 Exam Prepared 7_2020 | FIN494 Exam Prepared 7_Graded A
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FIN 494 Exam Prepared 7_Graded A Question 1 1. Which Greek shows the sensitivity of option price to the volatility of the underlying stock? a. Delta b. Gamma c. Vega d. Theta 10 points Question 2 1. If the implied volatility of an option is lower than your expectation of future stock volatility, you would be more likely to conclude that the option is a. Underpriced because the observed price of the option is lower than you think it should be b. Correctly priced because implied volatility makes the Black-Scholes option price match the observed price c. Over-priced because the implied volatility, when plugged into Black-Scholes model, generates a value higher than the observed price 10 points
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Institution
University Of Illinois - Chicago
Course
Finance (FIN494)
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Written for
- Institution
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University Of Illinois - Chicago
- Course
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Finance (FIN494)
Document information
- Uploaded on
- April 28, 2021
- Number of pages
- 26
- Written in
- 2020/2021
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- Exam (elaborations)
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- Questions & answers
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fin 494 exam prepared 7graded a
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which greek shows the sensitivity of option price to the volatility of the underlying stock
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if the implied volatility of an option is lower than your expectation of f
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