CFA Practice Question

There are 227 practice questions for this study session.

CFA Practice Question

A put option on futures, based on the Black model, is a ______ component minus a ______ component.

A. stock; bond
B. bond; futures
C. futures; stock
Correct Answer: B

The futures component is F0(T) e-rTN(-d1) and the bond component is e-rTXN(-d2).

User Contributed Comments 0

You need to log in first to add your comment.