Manager conducts delta hedge on written put position

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Reference no: EM131939933

1. A manager conducts a delta hedge on a written put position using the underlying asset can:

A. earn the risk-free rate.

B. earn zero return since the portfolio value does not change over time.

C. earn extra “dividend” income on a given position.

D. place a floor on the position while leaving the potential for upside risk.

2. The value of a European call option on an asset with no cash flows is positively related to all of the following, EXCEPT:

A. exercise price.

B. risk-free rate.

C. return volatility of the underlying.

D. time to exercise.

Reference no: EM131939933

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