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LOS e: Identify the conditions in which a delta-hedged portfolio is affected by the second-order gamma effect.
Q1. In delta-hedging a call position, which of the following pairs of conditions would lead to the gamma effect being the most important? The call is:
A) at-the-money and has a long time until expiration.
B) at-the-money and near expiration.
C) out-of-the-money and near expiration.
Q2. In delta-hedging, gamma would be important if the price of the underlying asset:
A) had a large move upward only.
B) had a large move upward or downward.
C) remained constant.
Q3. All of the following are conditions that make the second-order gamma effect more important to a manager delta-hedging an option EXCEPT when the:
A) delta is near zero.
B) option is at-the-money.
C) option is near expiration. | 
发表于 2009-4-10 11:01
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