Quant & option

vandana.jain
Finance Junkie
Posts: 41
Joined: Tue Jul 24, 2012 4:56 pm

Quant & option

Postby vandana.jain » Sat Oct 27, 2012 1:42 pm

Please help me out with below question
The ratio of Mean sum of residuals(MSR)/Mean squared Error (MSE) yields
Choose one answer.
a. The t statistic Incorrect
b. SST Incorrect
c. The F statistic Correct
d. The standard error

What does mean by Mean sum of residuals


iven a stock which is trading at $45. Three call options are available on the stock with strike prices of $42, $45 and $50. Suppose due to $1 change in the stock price the changes in the respective call options are \Delta C42, \Delta C45 and \Delta C50. Choose the correct option.
Choose one answer.
a. \Delta C_42> \Delta C_45> \Delta C_50 Incorrect
b. \Delta C_42< \Delta C_45< \Delta C_50 Correct
c. \Delta C_42< \Delta C_45> \Delta C_50 Incorrect
d. \Delta C_42> \Delta C_45< \Delta C_50 Incorrect
why b is ans... delta should be higher for at the money call
so ans should be a...
please correct me if i m wrong....

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content.pristine
Finance Junkie
Posts: 356
Joined: Wed Apr 11, 2012 11:26 am

Re: Quant & option

Postby content.pristine » Sat Oct 27, 2012 4:58 pm

MSR is Mean Square Regression. This is an error from our side.
About your second question related to Delta, you are absolutely correct.
Thanks for spotting these errors :)
8-)

vandana.jain
Finance Junkie
Posts: 41
Joined: Tue Jul 24, 2012 4:56 pm

Re: Quant & option

Postby vandana.jain » Sat Oct 27, 2012 5:51 pm

thank you


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