The current level of the USDJPY exchange rate is97 on February 28. Accordingly, which of the following strategies would be the most appropriate for the largest profit while the potential loss is limited? a. Long a call option on USDJPY and long a put option on USDJPY with the same ...
即,对于看跌期权,平价时的 \Delta 接近-0.5,深入价内(ITM)时的 \Delta 变为-1,深入价外(OTM)时的 \Delta 变为0。 从图中还可以看出,随着期权接近到期, \Delta 函数变得更加弯曲。函数收敛于阶梯函数(step function)。即当S < K 时为0,否则为 1。接近到期的期权具有不稳定的 \Delta。 对于欧式看涨或...
Yi = F1+F2*Xi+ci i = 1, 2 ..., 400 An analyst wants to test the joint null hypothesis that β 1 = 0 and β2 = 0 at the 95% confidence level. The p-value for the t-statistic for β 1 is 0.07, and the p-value for the t-statistic for β2 is 0.06. The p-value for ...
9、 a 5% significance level?A.25.80B.33.28c.34,94D5474Answer: BTlie loiiuiila fbi the Clii-sqiiared lesi statistic is;(11 1)* (sample variance / hypothesis variance)Since wc arc given a daily standard deviation, wc must first muitializc it by multipl*mg it by thesquare root of ...
关闭预览 想预览更多内容,点击免费在线预览全文 免费在线预览全文 2015 年 FRM 一级真题 1. Answer: B A calendar spread can be created by selling a European call option with a certain strike price and buying a longer-maturity European call option with the same strike price. The reverse calendar...
A result is statistically significant if it is: Unlikely to have occurred merely by chance, and the p-value is less than the significance level. Likely to have occurred merely by chance, and the p-value is less than the significance level. Unlikely to have occurred merely by chance, and ...
The specific FRM exam windows/dates for each level of the FRM Program are as follows: Part I Exam Date Window Early Registration Deadline Standard Registration Deadline May 11-17, 2024 December 1, 2023 - January 31, 2024 February 1 - March 31, 2024 August 9-10, 2024 (AM session only)...
aHistorians evaluate crises at a global level and explain them through the imbalances which appear between the constitutive elements of societies as a result of the occurrence of social dynamics phenomena: the increase of the military power of some states, the intensification of automation, etc. 史...
解释这个优化级 别不同银行如何不同 Determine optimal level method: 确定违约概率或信用评级,不应该只赚高评级的钱 敏感性或情景分析,用来评估特定因素波动的影响 7 / 159 optimal level of risk 依赖于每个银行的不通聚焦业务 05.2 比较一个银行接受太少或太多风险和接受优化的风险级别 如果 take little risk,...
thestrategy.Aresultisstatisticallysignificantifitis:A.Unlikelytohaveoccurredmerelybychance,andthep-valueislessthanthesignificancelevel.B.Likelytohaveoccurredmerelybychance,andthep-valueislessthanthesignificancelevel.C.Unlikelytohaveoccurredmerelybychance,andthep-valueisgreaterthan...