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1. Which of the following option sensitivities measures the change in the price of the option with respect to a decrease in the time to expiration?

A. Delta.

B. Theta.

C. Gamma.

D. Rho.

2. A European put option has a strike price of $28 and the underlying stock price is $24/share with no future dividend payout. The applicable risk-free rate for the maturity of this option is 5%. The upper and lower bounds for this European put option are

A. 24 and 0.

B. 24 and 2.67.

C. 26.67 and 2.67.

D. 28 and 0

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92778569

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