A receiver option on a swap is a swaption that gives the buyer the right to:
Which of the following have a negative gamma:1. a long call positionII. a short put positionIII. a short call positionIV. a long put position
An investor in mortgage backed securities can hedge his/her prepayment risk using which of the following?1. Long swaptionII. Short capIII. Short callable bondsIV. Long fixed/floating swap
Which of the following is NOT an assumption underlying the Black Scholes Merton option valuation formula:
A stock has a spot price of $102. It is expected that it will pay a dividend of $2.20 per share in 6 months. What is the price of the stock 9 months forward? Assume zero coupon interest rates for 6 months to be 6%, for 9 months to be 7%, and 12 months to be 8% - all continuously compounded.