关于2010 FRM.Practice Exam L2.25的延伸

25. Looking at a risk report, Mr.Woo finds that the options book of Ms. Yu has only long positions and yet has a negative delta. He asks you to explain how that is possible. What is a possible explanation? [source: FRM 2010 practice exam]
a.  The book has a long position in up-and-in call options.
b.  The book has a long position in binary options.
c.  The book has a long position in up-and-out call options.
d.  The book has a long position in down-and-out call options.

本题答案相信各位考友都有数了，下面几个问题希望大家踊跃讨论～～～
25.2 Which barrier option(s) can have a delta that less than -1.0?
25.3 Which barrier options(s) can exhibit negative vega?
25.4 Does a down-and-out call become more valuable or less valuable as we increase the frequency with which we observe the asset price in determining whether the barrier has been crossed? What is the answer to the same question for a down-and-in call? [Source: Hull]
25.5 Explain why a regular European call option is the sum of a down-and-out European call and a down-and-in European call. Is the same true for American call options? [Source: Hull]
25.6 (Hard. Optional. Beyond FRM exam) The current uranium futures pric

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Iginla2010

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发表于 2012-6-5 19:06 | 只看该作者

25.4 if we increase the frequency with which we observe the asset price, it would be less possible to hit the barrier price. this is to say the price of down-and-out call would be more valuable and down-and-in call less valuable.
25.5 There would be 2 cases in this question, either the asset price hit the barrier price or not. For the case barrier price being hitted, Cdi=C, Cdo=0. while for the other case that barrier price not being hitted Cdi=0, Cdo=C. therefore, no mater in which case, the Cdi+Cdo=C.
regarding to the other questions, i have no idea as well.

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