CFA Practice Question
If a call option is out the money, the one-sided up duration (if interest rate rises) is MOST LIKELY ______ the one-sided down duration.
A. higher than
B. lower than
C. equal to
Explanation: Because the option is out of money, the price sensitivity is likely symmetrical.
User Contributed Comments 1
| User | Comment |
|---|---|
| njhpeyton | Shouldn't there be a minor asymmetry? If this had read "almost equal to" or "effectively equal to" I would have chosen C. |