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All main topics / Finance & Investment / Derivatives / Derivatives
11.Which of the following are NOT true
A.Risk-neutral valuation and no-arbitrage arguments give the same option prices
B.Risk-neutral valuation involves assuming that the expected return is the risk-free rate and then discounting expected payoffs at the risk-free rate
C.A hedge set up to value an option does not need to be changed
D.All of the above
Answer: C 

The hedge set up to value an option needs to be changed as time passes. A and B are true.

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Flashcard info:
Author: CoboCards-User
Main topic: Finance & Investment
Topic: Derivatives
Published: 27.10.2015




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