Assume S = $33

question 15

Multiple Choice

Assume S = $33.00,σ = 0.32,r = 0.06,div = 0.01.You short 100 $35 strike puts at 68 days until expiration.Under a delta hedge position,what is your overnight profit/loss if the stock rises to $34.50? Assume no cost to short stock.

• A) $8.30 gain
• B) $8.30 loss
• C) $9.56 gain
• D) $9.56 loss

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Definitions:

Systematic Desensitization

A behavioral therapy technique used to reduce phobia and anxiety through gradual exposure to the feared object or situation combined with relaxation techniques.

Extinction

In behavioral psychology, the gradual weakening of a conditioned response that results in the behavior decreasing or disappearing.

Transformational Grammar

A theory of grammar that focuses on the syntactic transformations that relate surface structures and deep structures in language.

Surface Structure

In linguistics, the outward form of a sentence which can vary without changing its underlying meaning.