- CFA Exams
- CFA Level I Exam
- Topic 7. Derivatives
- Learning Module 34. Valuation of Contingent Claims
- Subject 5. Black Option Valuation Model
CFA Practice Question
To replicate a call option on futures, you should ______.
A. long stocks and short bonds
B. long bonds and short futures
C. long futures and short bonds
Explanation: The Black call model is simply the futures component minus the bond component.
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