兹维博迪金融学第二版试题库.docx

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

Answer:

（c）

28.UsetheBlack-ScholesformulatofindthevalueofaEuropeancalloptionandaEuropeanputoptiononthefollowingstock:

Timetomaturity0.5

Standard