Hi all,
I think I have an interesting question:
If we are long a put and long a stock (so that we are delta neutral) then we are long gamma and, both if the stock increase or decrease, our portfolio get a final positive value. Based on this (surely superficial) view, it seems that this...
Financial Risk Manager (FRM), Topic 4: Valuation and Risk Models, Fixed Income, Bruce Tuckman Chapter 1, Prices Discount Factors and Arbitrage. How do we exploit the Law of One Price (which asserts that--absent confounding factors like liquidity or taxes--is only one set of discount factors)? We...
Learning objectives: Differentiate between investment and consumption assets. Define short-selling and calculate the net profit of a short sale of a dividend-paying stock. Describe the differences between forward and futures contracts and explain the relationship between forward and spot prices...
Dipti today asked a follow-up to this 2010 GARP Practice exam sample question:
I solve these by relying on the positive/negative sign (+/-). The only hard part, for me, is memorizing that a positive discounted cash term [+K*exp(-rT)] signifies a long bond (to lend cash).
Put-call parity...
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