Which one of the following four statements correctly describes an American call option?
Answer : C
According to the largest global poll of foreign exchange market participants, which one of the following four global financial institutions was the most active participant in the global foreign exchange market?
Answer : C
In analyzing market option pricing dynamics, a risk manager evaluates option value changes throughout the entire trading day. Which of the following factors would most likely affect foreign exchange option values?
I. Change in the value of the underlying
II. Change in the perception of future volatility
III. Change in interest rates -
IV. Passage of time -
Answer : D
Which one of the following four statements about the relationship between exchange rates and option values is correct?
Answer : B
Which one of the following four statements does identify correctly the relationship between the value of an option and perceived exchange rate volatility?
Answer : C
Which one of the following four mathematical option pricing models is used most widely for pricing European options?
Answer : B
A risk manager is considering how to best quantify option price dynamics using mathematical option pricing models. Which of the following variables would most likely serve as an input in these models?
I. Implicit parameter estimate based on observed market prices
II. Estimates of sensitivity of option prices to parameter changes
III. Theoretical option determination based on assumptions
Answer : D
Which one of the following four parameters is NOT a required input in the Black-Scholes model to price a foreign exchange option?
Answer : C
Which one of the following four variables of the Black-Scholes model is typically NOT known at a point in time?
Answer : C
A risk manager analyzes a long position with a USD 10 million value. To hedge the portfolio, it seeks to use options that decrease JPY 0.50 in value for every JPY 1 increase in the long position. At first approximation, what is the overall exposure to USD depreciation?
Answer : A
A risk manager has a long forward position of USD 1 million but the option portfolio decreases JPY 0.50 for every JPY 1 increase in his forward position. At first approximation, what is the overall result of the options positions?
Answer : B
Which one of the following four statements correctly defines an option's delta?
Answer : C
In the United States, during the second quarter of 2009, transactions in foreign exchange derivative contracts comprised approximately what proportion of all types of derivative transactions between financial institutions?
Answer : B
Which of the following statements about the interest rates and option prices is correct?
Answer : A
To estimate a partial change in option price, a risk manager will use the following formula:
Answer : A