兹维博迪金融学第二版试题库.docx
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兹维博迪金融学第二版试题库
ChapterFifteen
MarketsforOptionsandContingentClaims
Thischaptercontains50multiplechoicequestions,15shortproblems,and9longerproblems.
MultipleChoice
1.Anoptiontobuyaspecifieditematafixedpriceisa（n）________;anoptiontosellisa________.
（a）put;call
（b）spotoption,call
（c）call;put
（d）put;spotoption
Answer:
（c）
2.A（n）________optioncanbeexerciseduptoandontheexpirationdate,whereasa（n）________optioncanonlybeexercisedontheexpirationdate.
（a）American-type;Bermudan-type
（b）American-type;European-type
（c）European-type;American-type
（d）Bermudan-type;European-type
Answer:
（b）
3.Thedifferencebetweenexercisepriceandcurrentstockpriceisthetangiblevalueofan________,andthedifferencebetweenthecurrentstockpriceandexercisepriceisthetangiblevalueofan________.
（a）outofthemoneyputoption;inthemoneycalloption
（b）inthemoneyputoption;outofthemoneycalloption
（c）intheputmoneyoption;atthemoneycalloption
（d）atthemoneyputoption;inthemoneyputoption
Answer:
（b）
4.
Acalloptionissaidtobe“outofthemoney”ifits________.
（a）exercisepriceisequaltothepriceoftheunderlyingstock
（b）currentstockpriceisgreaterthanitsstrikeprice
（c）strikepriceisgreaterthanthecurrentstockprice
（d）strikepriceislessthanitscurrentstockprice
Answer:
（c）
5.Thetimevalueofanoptionis________.
（a）thedifferencebetweenanoption’sstockpriceanditstangiblevalue
（b）thedifferencebetweenthecurrentstockpriceandexerciseprice
（c）thedifferencebetweentheexercisepriceandthestockprice
（d）thedifferencebetweenanoption’smarketpriceanditstangiblevalue
Answer:
（d）
6.Thepricesofputsare________thehighertheexerciseprice,andthepricesofcallsare________thehigheristheexerciseprice.
（a）lower;higher
（b）higher;lower
（c）lower;lower
（d）higher;higher
Answer:
（b）
Questions7through10refertothefollowinghypotheticalinformation:
ListingofLePlastrierOptions（symbol:
LLB）
（Priceslistedareclosingprices.）
February27,2009
CALLS
StockPriceonNYSE
ExercisePrice
January
February
April
109.75
109.75
109.75
107
110
113
3.375
0.625
0.125
5.625
2.1875
0.875
7.125
4.875
2.375
PUTS
StockPriceonNYSE
ExercisePrice
January
February
April
109.75
109.75
109.75
107
110
113
1.75
3.625
9
3.375
5.875
10
5.875
7.375
11.75
7.WhatisthetangiblevalueoftheAprilLLB110put?
（a）0
（b）0.25
（c）3.25
（d）7.375
Answer:
（b）
8.WhatisthetangiblevalueoftheFebruaryLLB107call?
（a）0
（b）5.625
（c）–0.75
（d）2.75
Answer:
（d）
9.InwhatstateistheJanuaryLLB107call?
（a）in-the-money
（b）out-of-the-money
（c）at-the-money
（d）zerostate
Answer:
（a）
10.InwhatstateistheFebruaryLLB113put?
（a）in-the-money
（b）out-of-the-money
（c）at-the-money
（d）zerostate
Answer:
（a）
11.Whichisthecorrectformuladescribingtheput-callparityrelation?
（a）S+C=
（b）S+P=
（c）S+P=
（d）S+C=
Answer:
（c）
12.A“protective-put”strategyiswhereone________.
（a）buysashareofstockandacalloption
（b）buysaputoptionandacalloption
（c）buysaputoptionandashareofstock
（d）sellsaputoptionandbuysacalloption
Answer:
（c）
13.SPXoptionsareeffectivelycallsorputsonahypotheticalindexfundthatinvestsinaportfoliocomposedofthestocksthatmakeuptheS&P500index,eachofthe500companies________.
（a）equallyrepresentedwithrespecttotheothers
（b）inproportiontothetotalvalueofitssharesoutstanding
（c）inproportiontothetradingvolumeofitsshares
（d）rotatingonaproportionalbasisdependentonearnings
Answer:
（b）
14.TheSPXcontractspecifiesthatifthecalloptionisexercised,theowneroftheoptions__________.
（a）paysacashsettlementof$100timesthedifferencebetweentheindexvalueandthestrikeprice
（b）receivesacashpaymentof$100timesthedifferencebetweentheindexandtangiblevalues
（c）receivesacashpaymentof$100timesthedifferencebetweentheindexvalueandthestrikeprice
（d）receivesapaymentofindexshares$100timesthedifferencebetweentheindexvalueandstrikeprice
Answer:
（c）
15.ThestockofDeneuvreLtd,currentlylistsfor$370ashare,whileone-yearEuropeancalloptionsonthisstockwithanexercisepriceof$150sellfor$290andEuropeanputoptionswiththesameexpirationdateandexercisepricesellfor$58.89.Infertheyieldonaone-yearzero-couponU.S.governmentbondsoldtoday.
（a）2.49%
（b）8.00%
（c）11.11%
（d）24.90%
Answer:
（b）
16.ThestockofFelliniLtd,currentlylistsfor$550ashare,whileone-yearEuropeancalloptionsonthisstockwithanexercisepriceof$250sellfor$380andEuropeanputoptionswiththesameexpirationdateandexercisepricesellfor$56.24.Infertheyieldonaone-yearzero-couponU.S.governmentbondsoldtoday.
（a）6.67%
（b）10.5%
（c）19.76%
（d）23.76%
Answer:
（b）
17.Considerastockthatcantakeonlyoneoftwovaluesayearfromnow,either$250or$90.Alsoconsideracalloptiononthestockwithanexercisepriceof$160expiringinoneyear.Atexpiration,thecallwillpayeither$90ifthestockpriceis$250oritwillpaynothingifthestockpriceis$90.Calculatethecalloption’shedgeratio.
（a）0.3600
（b）0.4444
（c）0.5625
（d）0.6400
Answer:
（c）
18.Considerastockthatcantakeonlyoneoftwovaluesayearfromnow,either$320or$130.Also,consideracalloptiononthestockwithanexercisepriceof$200expiringinoneyear.Atexpiration,thecallwillpayeither$120ifthestockpriceis$320oritwillpaynothingifthestockpriceif$130.Therisk-freerateis5%peryear.Calculatethehedgeratio.
（a）hedgeratio=0.3750
（b）hedgeratio=0.4063
（c）hedgeratio=0.6000
（d）hedgeratio=0.6316
Answer:
（d）
19.Asoneattemptstoimprovethetwostatemodel,wecanfurthersubdividetimeintervalsintoshorterincrementsandbuildthe________.
（a）Binomialoptionpricingmodel
（b）Black-Scholesmodel
（c）Discretemodel
（d）aandb
Answer:
（d）
20.Whenthe________priceoftheunderlyingstockequalsthe________,thisreasoningleadstothesimplifiedBlack-Scholesformula.
（a）future;priceofthecall
（b）current;futurevalueofthestrikeprice
（c）current;presentvalueofthestrikeprice
（d）future;priceoftheput
Answer:
（c）
21.WhichisthecorrectformulausingBlack-ScholesmethodforaEuropeancalloptiononanon-dividendpayingstock?
（a）C=N（d1）S+N（d2）Ee-rT
（b）C=N（d2）S+N（d1）Ee-rT
（c）C=N（d1）S–N（d2）Ee-rT
（d）C=N（d1）E–N（d2）Se-rT
Answer:
（c）
22.UsetheBlack-ScholesformulatofindthevalueofaEuropeancalloptiononthefollowingstock:
Timetomaturity6months
Standarddeviation50percentperyear
Exerciseprice60
Stockprice60
Interestrate10percentperyear
Assumeitisanon-dividendpayingstock.Thevalueofacallis________.
（a）$6.83
（b）$9.76
（c）$9.96
（d）$14.36
Answer:
（b）
23.UsetheBlack-ScholesformulatofindthevalueofaEuropeancalloptiononthefollowingnon-dividendpayingstock:
Timetomaturity4months
Standarddeviation45percentperyear
Exerciseprice65
Stockprice60
Interestrate11percentperyear
（a）$5.09
（b）$7.75
（c）$9.66
（d）$11.43
Answer:
（a）
24.TheBlack-Scholesformulahasfourparametersthataredirectlyobservableandonethatisnot.Whichofthefollowingparameterisnotdirectlyobservable?
（a）exerciseprice
（b）stockprice
（c）volatilityofthestockreturn
（d）risk-freeinterestrate
Answer:
（c）
25.AsafinancialanalystatDodgieBrothersinvestmenthouse,youareaskedbyaclientifsheshouldpurchaseEuropeancalloptionsonAngelHeartLtdsharesthatarecurrentlysellinginU.S.dollarsfor$45.00.TheoptionsonAngelHeartLtdhaveanexercisepriceof$65.00.ThecurrentstockpriceforAngelHeartis$70andtheestimatedrateofreturnvarianceofthestockis0.09.Iftheseoptionsexpirein35daysandtherisklessinterestrateovertheperiodis6%,whatshouldyourclientdo?
（a）Thecallisvaluedat$19.63;thisislessthan$70andnotworthbuying.
（b）Thecallisvaluedat$5.37;thisislessthan$45andnotworthbuying.
（c）Thecallisvaluedat$70;thisisgreaterthan$45andworthbuying.
（d）Thecallisvaluedat$15;thisisgreaterthan$6andworthbuying.
Answer:
（b）
26.UsethelinearapproximationoftheBlack-ScholesmodeltofindthevalueofaEuropeancalloptiononthefollowingstock:
Timetomaturity6months
Standarddeviation0.3
Exerciseprice50
Stockprice50
Interestrate10percentperyear
WhatisthediscrepancybetweenthevalueobtainedfromthelinearapproximationandtraditionalBlack-Scholesformula?
（a）Linearapprox=$3.01;Discrepancy=$1.0154
（b）Linearapprox=$4.24;Discrepancy=$1.2016
（c）Linearapprox=$3.01;Discrepancy=$1.2016
（d）Linearapprox=$4.76;Discrepancy=$1.2153
Answer:
（b）
27.UsetheBlack-ScholesformulatofindthevalueofaEuropeancalloptionandaEuropeanputoptiononthefollowingstock:
Timetomaturity0.5
Standarddeviation30%peryear
Exerciseprice100
Stockprice100
Risk-freeinterestrate10percentperyear
Thevaluesareclosestto:
（a）Valueofcall=$16.73;Valueofput=$7.22
（b）Valueofcall=$12.27;Valueofput=$9.32
（c）Valueofcall=$10.90;Valueofput=$6.02
（d）Valueofcall=$8.28;Valueofput=$3.40
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