8. A is correct. Call option deltas range from a value of 0 to a value of 1, whereas put option
deltas range from a value of 0 to a value of –1. The explanations of Gamma and Vega are
correct. Section 3.1.3. LO.g.
Bạn đang xem 8. - CFA 2018 LEVEL 2 PORTFORLIO QUESTION BANK R49 MEASURING MANAGING MARKET RISK Q BANK