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Advantage of higher-than-expected kurtosis

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Reference no: EM132955535

1. Which strategy seeks to take advantage of higher-than-expected kurtosis while "ignoring" skew?

A. Long 25-delta strangle

B. Short 25-delta strangle

C. Risk-reversal, long upside

D. Risk-reversal, short upside

2. From the following given options, determine those that may be classified as ' linear ' or even ' near linear '.

i) Swaps

ii) Forwards

iii) Futures

iv) Options

A. i and ii only

B. i and iii only

C. i, ii and iii only

D. i, ii and iv only

E. i, iii and iv only

F. ii, iii and iv only

G. i, ii, iii and iv

H. None of the above

Reference no: EM132955535

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