Sponsored Ads
D.W. Simpson
Worldwide Actuarial Recruitment
Life Health Pension Casualty US Asia Australia Europe Salary Apply
Ezra Penland Actuarial Recruiters
Top Actuary Jobs
Salary Surveys Apply Bios Casualty Health Life Pension
Pauline Reimer, ASA, MAAA
Pryor Associates
Actuarial Openings: Life, P&C, Health, Pensions, Finance
Advertise Here
Contact us at actuary@actuary.com or 770-425-8576
Reach top actuarial professionals

Results 1 to 5 of 5

Thread: Questions about ASM Practice 1

  1. #1
    Actuary.com - Level II Poster
    Join Date
    Sep 2007
    Location
    NY
    Posts
    32

    Questions about ASM Practice 1

    #7 how come the Theta for a call opion is more likely to be "positive"?

    Theta is a negitive derivative. right?

    #17 In the question, they didn't mention about K strike price, how come the

    answer tells the K is 40?

    Please tell me why, cause I am really confused.

  2. #2
    Author, Instructor and Seminar Provider
    Join Date
    Sep 2005
    Location
    USA
    Posts
    97
    #7: Indeed it is a negative derivative, so less time==>more valuable makes theta higher.

    #17:"at the money" means strike=current price.

  3. #3
    Actuary.com - Level II Poster
    Join Date
    Sep 2007
    Location
    NY
    Posts
    32
    but why it says that Theta for a call option is more liely to be "positive?

  4. #4
    Author, Instructor and Seminar Provider
    Join Date
    Sep 2005
    Location
    USA
    Posts
    97
    In the case of (A), because the call option is very likely to pay off, so the less time to maturity, the less discounting of the payoff and the more valuable the option is.

    In the case of (B), the dividends lower the payoff, so you'd like to have less time to maturity so that there will be fewer dividends.

  5. #5
    Actuary.com - Level II Poster
    Join Date
    Sep 2007
    Location
    NY
    Posts
    32
    thank you for you explaination, but I'm still confused.

    can you give me some example?

    than you for your patient.

Thread Information

Users Browsing this Thread

There are currently 1 users browsing this thread. (0 members and 1 guests)

Similar Threads

  1. Why are the ACTEX manual's practice exams 17 questions instead of 25?
    By bcgraham in forum SOA Exam FM / CAS Exam 2 - Financial Mathematics - with practice exam problems
    Replies: 0
    Last Post: November 6th 2006, 09:30 PM
  2. pilot questions
    By Double T in forum SOA Exam P / CAS Exam 1 - Probability - with practice exam problems
    Replies: 7
    Last Post: August 18th 2006, 11:22 PM
  3. 25 questions?
    By Thomas H in forum SOA Exam FM / CAS Exam 2 - Financial Mathematics - with practice exam problems
    Replies: 1
    Last Post: May 4th 2006, 06:34 PM
  4. Practice Questions - Exam 1
    By SMS in forum SOA Exam P / CAS Exam 1 - Probability - with practice exam problems
    Replies: 2
    Last Post: August 13th 2005, 09:50 AM
  5. Questions and more questions......
    By Mehak in forum Actuarial - General Discussion
    Replies: 1
    Last Post: May 2nd 2005, 02:31 PM

Posting Permissions

  • You may not post new threads
  • You may not post replies
  • You may not post attachments
  • You may not edit your posts
  •