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What is the probability of an ‘at-the-money’ option being exercised?
Less than 50% probability
50% probability
More than 50% probability
Zero probability
A forward-forward lender has an exposure to the risk of:
Higher interest rates
Lower interest rates
Flattening yield curve
Parallel shift downwards in the yield curve
The gamma of an option is:
The sensitivity of the option value to changes in volatility
The sensitivity of the option value to changes in the time to expiry
The sensitivity of the delta to changes in the value of the underlying
The sensitivity of the option value to changes in the price of the underlying
The forward points are calculated using:
The level of interest rates in the base currency
The level of interest rates in the quoted currency
The interest rates in the two currencies
Your expectations of the future spot rate
TESTED 26 Apr 2024
