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FIN 494 Exam Prepared 6_2020| FIN494 ExamPrepared 6_2020
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FIN 494 Exam Prepared 6 - 2020 Question 1 1. Dynamically hedging a short position in a call option: a. Is more likely to save you money when the option expires out-of-the-money b. Is guaranteed to save you money c. Results in a reduced volatility of the gain / loss 10 points Question 2 1. Consider the following data on a European call option, recorded at two different points in time on the same day (10:00 am and 10:15 am). Suppose you hold a short position in the option and delta-hedge it by a long position in the underlying stock. Which of the following statements is correct? 10:00 am 10:15 am S 27.8
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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
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- Written in
- 2020/2021
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fin 494 exam prepared 6 2020
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dynamically hedging a short position in a call option
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consider the following data on a european call option
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recorded at two different points in time on the same day 1
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