Get Certified: Proven Methods to Pass the PRMIA 8002 Exam

An underlying asset price is at 100, its annual volatility is 25% and the risk free interest rate is 5%. A European put option has a strike of 105 and a maturity of 90 days. Its Black-Scholes price is 7.11. The options sensitivities are: delta = -0.59; gamma = 0.03; vega = 19.29. Find the delta-gamma approximation to the new option price when the underlying asset price changes to 105

Which of the following statements about skewness of an empirical probability distribution are correct?

1. When sampling returns from a time series of asset prices, discretely compounded returns exhibit higher skewness than continuously compounded returns

2. When the mean is significantly less than the median, this is an indication of negative skewness

3. Skewness is a sign of asymmetry in the dispersion of the data

A typical leptokurtotic distribution can be described as a distribution that is relative to a normal distribution

Consider the linear regression model for the returns of stock A and the returns of stock B. Stock A is 50% more volatile than stock B. Which of the following statements is TRUE?

Which of the following is consistent with the definition of a Type I error?

What is a Hessian?

Maximum likelihood estimation is a method for:

Let f(x) = c for x in [0,4] and 0 for other values of x.

What is the value of the constant c that makes f(x) a probability density function; and what if f(x) = cx for x in [0,4]?

Consider a binomial lattice where a security price S moves up by a factor u with probability p, or down by a factor d with probability 1 - p. If we set d > 1/u then which of the following will be TRUE?

Let A be a square matrix and denote its determinant by x. Then the determinant of A transposed is: