Assume a Bank Has Bought a Call Option on Bonds

question 38

Multiple Choice

Assume a bank has bought a call option on bonds with a notional value of $200.Further assume that and that the delta of the option is calculated at 0.45.What is the contingent asset value (round to two decimals) ?

• A)$200 / 0.45 = $444.44
• B)$200 * 0.45 = $90.00
• C)($200 / 0.45) / 100 = $4.44
• D)($200 * 0.45) / 100 = $0.90

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