What is the payoff of the option

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Reference no: EM132002301

1. Two Treasury bonds, A and B, have the same duration, but A has greater convexity than B

a During recessions, both bonds will lose value, and B will be affected more

b During recessions, both bonds will lose value, and A will be affected more

c During recessions, both bonds will gain value, and B will be affeceted more

d During recessions, both bonds will gain value, and A will be affected more

2. The stock price starts at around $120, ends at $105, and hits the barrier of $90 about halfway through the year.

(a) What is the payoff of the option: a 100-strike down-and-in put?

(b) What is the payoff of the option: a 100-strike down-and-out put?

Reference no: EM132002301

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