推荐兹维博迪金融学第二版试题库 精品 精品Word文件下载.docx

推荐兹维博迪金融学第二版试题库 精品 精品Word文件下载.docx

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（b）American-type;

European-type

（c）European-type;

American-type

（d）Bermudan-type;

（b）

3.Thedifferencebetweenexercisepriceandcurrentstockpriceisthetangiblevalueofan________,andthedifferencebetweenthecurrentstockpriceandexercisepriceisthetangiblevalueofan________.

（a）outofthemoneyputoption;

inthemoneycalloption

（b）inthemoneyputoption;

outofthemoneycalloption

（c）intheputmoneyoption;

atthemoneycalloption

（d）atthemoneyputoption;

inthemoneyputoption

4.

Acalloptionissaidtobe“outofthemoney”ifits________.

（a）exercisepriceisequaltothepriceoftheunderlyingstock

（b）currentstockpriceisgreaterthanitsstrikeprice

（c）strikepriceisgreaterthanthecurrentstockprice

（d）strikepriceislessthanitscurrentstockprice

5.Thetimevalueofanoptionis________.

（a）thedifferencebetweenanoption’sstockpriceanditstangiblevalue

（b）thedifferencebetweenthecurrentstockpriceandexerciseprice

（c）thedifferencebetweentheexercisepriceandthestockprice

（d）thedifferencebetweenanoption’smarketpriceanditstangiblevalue

（d）

6.Thepricesofputsare________thehighertheexerciseprice,andthepricesofcallsare________thehigheristheexerciseprice.

（a）lower;

higher

（b）higher;

lower

（c）lower;

（d）higher;

Questions7through10refertothefollowinghypotheticalinformation:

ListingofLePlastrierOptions（symbol:

LLB）

（Priceslistedareclosingprices.）

February27,20XX

CALLS

StockPriceonNYSE

ExercisePrice

January

February

April

109.75

107

110

113

3.375

0.625

0.125

5.625

2.1875

0.875

7.125

4.875

2.375

PUTS

1.75

3.625

9

5.875

10

7.375

11.75

7.WhatisthetangiblevalueoftheAprilLLB110put?

（a）0

（b）0.25

（c）3.25

（d）7.375

8.WhatisthetangiblevalueoftheFebruaryLLB107call?

（b）5.625

（c）–0.75

（d）2.75

9.InwhatstateistheJanuaryLLB107call?

（a）in-the-money

（b）out-of-the-money

（c）at-the-money

（d）zerostate

（a）

10.InwhatstateistheFebruaryLLB113put?

11.Whichisthecorrectformuladescribingtheput-callparityrelation?

（a）S+C=

（b）S+P=

（c）S+P=

（d）S+C=

12.A“protective-put”strategyiswhereone________.

（a）buysashareofstockandacalloption

（b）buysaputoptionandacalloption

（c）buysaputoptionandashareofstock

（d）sellsaputoptionandbuysacalloption

13.SPXoptionsareeffectivelycallsorputsonahypotheticalindexfundthatinvestsinaportfolioposedofthestocksthatmakeuptheS&

P500index,eachofthe500panies________.

（a）equallyrepresentedwithrespecttotheothers

（b）inproportiontothetotalvalueofitssharesoutstanding

（c）inproportiontothetradingvolumeofitsshares

（d）rotatingonaproportionalbasisdependentonearnings

14.TheSPXcontractspecifiesthatifthecalloptionisexercised,theowneroftheoptions__________.

（a）paysacashsettlementof$100timesthedifferencebetweentheindexvalueandthestrikeprice

（b）receivesacashpaymentof$100timesthedifferencebetweentheindexandtangiblevalues

（c）receivesacashpaymentof$100timesthedifferencebetweentheindexvalueandthestrikeprice

（d）receivesapaymentofindexshares$100timesthedifferencebetweentheindexvalueandstrikeprice

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%

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%

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

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

19.Asoneattemptstoimprovethetwostatemodel,wecanfurthersubdividetimeintervalsintoshorterincrementsandbuildthe________.

（a）Binomialoptionpricingmodel

（b）Black-Scholesmodel

（c）Discretemodel

（d）aandb

20.Whenthe________priceoftheunderlyingstockequalsthe________,thisreasoningleadstothesimplifiedBlack-Scholesformula.

（a）future;

priceofthecall

（b）current;

futurevalueofthestrikeprice

（c）current;

presentvalueofthestrikeprice

（d）future;

priceoftheput

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

22.UsetheBlack-ScholesformulatofindthevalueofaEuropeancalloptiononthefollowingstock:

Timetomaturity6months

Standarddeviation50percentperyear

Exerciseprice60

Stockprice60

Interestrate10percentperyear

Assumeitisanon-dividendpayingstock.Thevalueofacallis________.

（a）$6.83

（b）$9.76

（c）$9.96

（d）$14.36

23.UsetheBlack-ScholesformulatofindthevalueofaEuropeancalloptiononthefollowingnon-dividendpayingstock:

Timetomaturity4months

Standarddeviation45percentperyear

Exerciseprice65

Interestrate11percentperyear

（a）$5.09

（b）$7.75

（c）$9.66

（d）$11.43

24.TheBlack-Scholesformulahasfourparametersthataredirectlyobservableandonethatisnot.Whichofthefollowingparameterisnotdirectlyobservable?

（a）exerciseprice

（b）stockprice

（c）volatilityofthestockreturn

（d）risk-freeinterestrate

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.

26.UsethelinearapproximationoftheBlack-ScholesmodeltofindthevalueofaEuropeancalloptiononthefollowingstock:

Standarddeviation0.3

Exerciseprice50

Stockprice50

WhatisthediscrepancybetweenthevalueobtainedfromthelinearapproximationandtraditionalBlack-Scholesformula?

（a）Linearapprox=$3.01;

Discrepancy=$1.0154

（b）Linearapprox=$4.24;

Discrepancy=$1.20XX

（c）Linearapprox=$3.01;

（d）Linearapprox=$4.76;

Discrepancy=$1.2153

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

28.UsetheBlack-ScholesformulatofindthevalueofaEuropeancalloptionandaEuropeanputopti