CFA Practice Question

There are 252 practice questions for this study session.

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.
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