Recent questions tagged call

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What is a European call option?

asked Aug 20, 2022 in General Knowledge by AstraNova Diamond (55.6k points) | 298 views

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WHat are option contracts?

asked Aug 20, 2022 in General Knowledge by AstraNova Diamond (55.6k points) | 210 views

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What are the differences between forwards and futures?

asked Aug 20, 2022 in General Knowledge by AstraNova Diamond (55.6k points) | 263 views

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Calculate the VaR of a long position in one call option on a stock using MCS in say Excel (or using another software package).

asked Aug 20, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 268 views

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Generate 100 random observations on $S_{t}$, the stock price (with $S_{0}=100, \sigma=40 \%$ and $\mu=10 \%$ and the timestep $\Delta t=0.01$ years, that is about $3.5$ days).

asked Aug 20, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 244 views

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In a Monte Carlo study carefully show the steps involved in calculating the VaR over a 10-day horizon, for a long call option on a stock (assuming Black-Scholes holds).

asked Aug 20, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 218 views

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Why might you use Black's model to price a 1-year option on a T-bond where the underlying bond is a 15-year T-bond, but not where the underlying bond is a 1-year Tbond?

asked Aug 20, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 247 views

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In the context of the one-period BOPM, what is a risk-neutral probability? Show that this risk-neutral probability is consistent with the assumption that the underlying asset $\mathrm{S}$ grows at the risk-free rate.

asked Aug 20, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 131 views

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Why is the BOPM (and other 'tree methods') more flexible than closed form solutions such as the Black-Scholes formula for calls and puts?

asked Aug 20, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 210 views

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What might make an investor buy a (i) down-and-out call (ii) up-and-out put?

asked Aug 20, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 237 views

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Calculate the price of an average price Asian call option on a stock, using a twoperiod binomial model. Take $\mathrm{S}_{0}=100$ and the stock can go up $15 \%$ or down $10 \%$ per period.

asked Aug 20, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 205 views

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Why is a 'long stock plus long put' known as a 'covered call' ?

asked Aug 18, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 222 views

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A European futures option with 6 months to expiration has a strike price $K=100$, the current futures price $F=98$, the risk free rate $r=12 \%$ and volatility $\sigma=20 \%$.

asked Aug 18, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 207 views

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Intuitively, what is the link between the original Black-Scholes option pricing formula on an underlying asset, S, paying a continuous "dividend yield" $\delta$ and Black's formula for the price of a futures option?

asked Aug 18, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 284 views

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Why might you hedge your future heating oil purchases using a call futures option on heating oil rather than a call option on heating oil?

asked Aug 18, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 215 views

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What are the differences between a long straddle and a short butterfly spread ?

asked Aug 18, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 232 views

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You expect the stock market to rise over the next 3-months. What are the advantages and disadvantages of buying a call bull spread?

asked Aug 18, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 201 views

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Suppose portfolio-A is delta neutral but has a gamma of $-300$. A call option with the same underlying (e.g. stock or currencies) is available which has a delta of $0.62$ and a gamma of 1.5. Let this call option be denoted ' $Z$ '.

asked Aug 18, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 303 views

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At the end of the trading day you are long 40 European calls and short 20 European puts on the same underlying. The calls and puts have the same time to maturity and the delta of the call is $\Delta_{c}=0.1$.

asked Aug 18, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 232 views

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Calculate the Black-Scholes price for a European call option on a stock with 6-months to maturity. Assume, $\mathrm{S}=100, \mathrm{r}=10 \%$ p.a. (continuously compounded), $\mathrm{K}=100$ and $\sigma=20 \%$ p.a.

asked Aug 18, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 154 views

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How would you (delta) hedge either a long call or a long put on a stock (over a small interval of time)?

asked Aug 18, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 234 views

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Intuitively, why is an American call or put option worth more than a similar European option?

asked Aug 18, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 188 views

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Would you pay more for a call option on a stock where the underlying stock had an annual return volatility of $20 \%$ p.a. rather that one which had an annual volatility of $10 \%$ p.a. ? Briefly explain.

asked Aug 18, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 235 views

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If you have written a call option on a stock and also on the S\&P500, what will happen at maturity if the two options are in-the-money ?

asked Aug 18, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 242 views

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If you write a call option on a stock why must you lodge margin payments with the clearing house? Does this imply that selling an option provides no cash benefits ?

asked Aug 18, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 200 views

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When is a long call 'in-the-money' and when is a long put 'out-of-money' ?

asked Aug 18, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 179 views

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You are already long 100 contracts at a settlement price of $\$ 50,000$ per contract. Next day at $11 \mathrm{am}$ you acquire an additional 20 contracts at a price of $\$ 51,000$ per contract.

asked Aug 18, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 106 views

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You are a speculator and you think stock prices will increase. Should you buy a call or a put option?

asked Aug 18, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 189 views

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What is the emergency number to call in case anything happens to me when in a library?

asked Jan 28, 2022 in General Knowledge by MathsGee Platinum (98.5k points) | 238 views

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What is a Callback Function in javascript?

asked Oct 16, 2021 in Data Science & Statistics by MathsGee Platinum (98.5k points) | 309 views

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What is a function call in javascript programming?

asked Oct 16, 2021 in Data Science & Statistics by MathsGee Platinum (98.5k points) | 357 views

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Why do economists call "what if..." questions counterfactuals?

asked Aug 17, 2021 in Data Science & Statistics by Siyavula Wooden Status (4.2k points) | 250 views

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What is a margin call?

asked Oct 5, 2020 in Mathematics by MathsGee Platinum (98.5k points) | 259 views

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What is “Call by Reference” in Python?

asked Jun 26, 2020 in Data Science & Statistics by Student Bronze Status (5.7k points) | 342 views

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What is “Call by Value” in Python?

asked Jun 26, 2020 in Data Science & Statistics by Student Bronze Status (5.7k points) | 319 views

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What is a function call or a callable object in Python?

asked Jun 26, 2020 in Data Science & Statistics by Student Bronze Status (5.7k points) | 448 views

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a.) If you made a call of 68 seconds, how would you be charged? Complete the calculation: 68 seconds = (_________@ 0,570) + (_______ × 0,01089) = _________

asked Jun 10, 2020 in Mathematics by joshua-mwanza Gold Status (26.7k points) | 408 views

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What is event loop? What is the difference between call stack and task queue?

asked Sep 1, 2019 in Data Science & Statistics by MathsGee Platinum (98.5k points) | 2.9k views

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Can you explain what Function.call and Function.apply do? What's the notable difference between the two?

asked Sep 1, 2019 in Data Science & Statistics by MathsGee Platinum (98.5k points) | 492 views

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There is a function $\text{fn}(a, b, c, d, e) = a + b * c - \dfrac{d}{e}$. Write the code to call fn on the vector c(1,2,3,4,5) such that the output is same as fn(1,2,3,4,5).

asked Mar 12, 2019 in Data Science & Statistics by MathsGee Platinum (98.5k points) | 470 views

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